NOTE: When a page from the site is added to the user's favorites, IE will search for /favicon.ico and place the icon next to all the favorites and quick links originating from your site. Icon (e.g. http://www.zdnet.com/favicon.ico) must be 16x16 pixels.
For details see: http://msdn.microsoft.com/workshop/Author/dhtml/howto/ShortcutIcon.asp
This can be altered by including: LINK REL="SHORTCUT ICON" HREF="http://www.mydomain.com/myicon.ico" in the HEAD of a web page.
Another approach to this, using inline JavaScript, follows:
Add this page to your favorites