Windows has had issues with FavIcons for years. It's buggy, unreliable and why I will never enter into a discussion how to fix that.
But so you can catch up. Reasearch on google this words -> FAVICON
I store my favorites shortcuts on a 4g thumb drive, however recently I noticed that the icons don't show except for the ones that have the IE icon all others such as Lowe's,sears,walmart,Fry's,just to name a few, just show a window with 3 colored dots in it and the name of the shortcut but the shortcuts will open when I click on them and on some but not all of them after opening the shortcut the shortcuts icon will show up for awhile and then after a certain period of time it reverts back to no icon showing until I open it again,I thought maybe the drive was going bad so I bought another one and downloaded some of the favorites sites shortcuts on the drive directly from the websites but that drive behaved the same as the other one , and so then I installed adobe flash but it still behaves the same way and yet I have another thumb drive that I store my apps on and it shows the icons for the apps, so I'm stumped, like I said the shortcuts will open but I'm just wondering what is causing this as I've never encountered this problem before with any of my other thumb drives( My comp is a custom built w an Intel D865perl mother board ,Intel P4 3.06gig processer,160 gig Western Digital H.D.,2 gigs of ram and running XP Pro w SP3.)