If you have a favicon.ico file on your server it (i beleive) gets stored locally on a users HD when they actually bookmark your site however, if there isnt a file there then what you are seeing is 404 errors from people bookmarking your site using IE and no favicon.ico file being made available.

Here is a link with a little more info for you:

http://forums.gaywidewebmasters.com/...&threadid=2041

Regards,

Lee