Hey Lee,
If you've changed your favicon.ico file to something customized you might have to clear your cache in its entirety for it to work. IE and Netscape, among other browers, tend to latch on to the first version of the favicon.ico file they ever come across for the site and use that indefinitely even despite F5s or full refreshes.
So clear out your cache and cookies then give it a go and see if it comes up for ya

just make sure all browser windows are closed when you do it (go through the control panel rather than the browser menu) or else it'll still snag the cached favicon.ico that's being viewed)