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but apparently all you have to do it call your icon favico.ico and stick it in your Web Directory.
Not to sure if thats the right name though.
Smaller independant websites don't make use of this.
The thing I found with this was that it disapeared after a while, like if I restart my PC, it vanishs.
You may have to surround the name in speach marks when saving it though, so if it doesn't work the firts time, try it again with speachmarks:
e.g. "MyIcon.ico" instead of MyIcon.ico