There are a few solutions for this problem.
* Add the page to your favorites. If you already have the page in your favorites folder, remove it and add it again.
* Make sure, the icon file is called favicon.ico and it is placed in the root folder of your web server.
* Make sure, the path to the favicon in the header of your page is absolute, not relative.
* Delete your temporary internet files. If the folder with temporary files has reached its maximum, the favicon may not be used.
(Courtesy of http://www.rw-designer.com/favicon)