IE Favicons is a demo feature only. Everytime you clear the TIF (cache) the icon is gone. There was some hope that in the past five plus years MS would fix this, but no.
Look for the last free version of FAVORG (google?) to fix this if you must keep the icons.
Bob
Hallo, Does anyone know how to stop IE from changing Favorites Icons back to IE Icons. It makes it harder to spot the site icon from a long list of Favorites if they are all IE icons. I am running XP Pro with IE v.6.0. Thanks, Bert.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic