Below are some pointers when creating a favicon for your website :
1. Ensure that you have created your shortcut icon with the following size: 16x16 pixels
Option A
2. Save the icon with the default file name of favicon.ico in your website's root directory (eg. www.yourdomain/favicon.ico where yourdomain.com is your domain name)
Option B
2. Or you can also associate the icon with your Web page by saving the icon with a file name other than favicon.ico and adding a line of HTML code in the head section of your Web document. The line of code includes a link tag that specifies the location and name of the file.
For example:
<HEAD>
<LINK REL="SHORTCUT ICON" HREF="http://www.yourdomain.com/myicon.ico">
<TITLE>My Title</TITLE>
</HEAD>
To learn more on how to add a favicon to your site, please refer to the link below:
http://msdn.microsoft.com/library/default.asp?url=/workshop/Author/dhtml/howto/ShortcutIcon.asp