This Icon
In the address bar of Internet Explorer there is an Icon next to the address of the web page that you are viewing
This Icon is normally shown as default.
You can display your own logo or some other small graphic.
The Shortcut Icon is displayed in the Address bar, Internet Explorer 5 Favorites menu, and Links bar ( if visible).
The following image shows how my shortcut icon is displayed for my site in the Address bar, Internet Explorer 5 Favorites menu and Links bar ( if visible).
Use an icon editor to create an icon that is 16x16 pixels. The default icon will be shown if you use any other size.
Save the icon as a .ICO file with the default file name of favicon
favicon.ico
in the root directory of your site.
NOTE:
You must use an Icon Editor to save as a .ICO and not use an Image editor to simply save a bitmap as a .ICO as the formats may be different.
You can also associate the icon with your Web pages by saving the icon with a file name other than favicon.ico and putting the following LINK tag in the <HEAD> section of your document.
<HEAD>
<LINK REL="SHORTCUT ICON" HREF="http://www.yourdomain.co.uk/youricon.ico">
<TITLE>Page Title</TITLE>
</HEAD>
This LINK tag will specify the location and name of your file. You can include this LINK tag on any page that you want your icon to be attached to.
You may want different icons for different pages.
When your Web page is added to a user's Favorites, Internet Explorer 5 automatically searches for this file and places the icon next to all the favorites and quick links originating from your site.
The only way a shortcut icon appears on a user's Favorites menu and Address bar is if the user chooses to add your page as a favorite. You can add a button or link on your page that prompts the user to add your page.
See BookMark
Note:
I have tried this myself, as you can see from the image above, but find that the Favicon is not always shown :-(