Which are you using? If you've imported bookmarks from another browser the "favicon", as it's called, may not come with it. You'd need to visit each site and let it load completely. That's how Firefox works but don't know about other browsers.
In my favorites list or tabs on Webpages, I cannot get the icon for the particular website to display properly. I get the same generic icon for every page. I am running windows XP SP 2 on a Dell laptop 2.4 GHz processor and 4 GB of RAM. All icons display properly on the desktop. I have no idea how to remedy this problem. Thank you for your help.