So, I get this letter one day asking why an error log was showing requests for something called favicon.ico. I had never heard of such a thing and neither had the person sending me the e-mail.
Goodies is set up to do it right now.
So, if you have IE 5.0, bookmark this page. You've got Icons to place. The hardest part of this little exercise is getting an icon. The parameters are pretty simple. I own three graphic editors.