Topic: Create an Explorer Favorites Icon
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If you'd like to add an icon that shows up in IE 5.x or higher.

1.  Create a 16 by 16 pixel icon.
2.  Name the icon "favicon.ico"
3.  Place the file in your web's root folder.
4.  To test, open the page from your hosted server and add to "Favorites"

You can also add different icons if you put it in your header 

E.g.
<LINK REL="SHORTCUT ICON" HREF="http://www.covertcoder.com/favicon.ico"> 
<LINK REL="SHORTCUT ICON" HREF="http://www.covertcoder.com/DifferentIcon.ico">