From latest Boogie Jack newsletter:
http://www.boogiejack.com/AlmostNews/aan123.html
Associate the Icon with Your Web Page
After creating the icon, you must associate it with your Web page. One way
is to save the icon with the default file name of favicon.ico in the root
directory of your domain-for example,
www.microsoft.com/favicon.ico. Each
time your Web page is added to a user's favorites, Internet Explorer
automatically searches for this file and places the icon next to all the
favorites and quick links originating from your site.
You can also associate the icon with your Web page by saving the icon with a
file name other than favicon.ico and adding a line of HTML code in the head
section of your Web document. The line of code includes a link tag that
specifies the location and name of the file. You can include this link tag
on a per-page basis.
<HEAD>
<LINK REL="SHORTCUT ICON" HREF="
http://www.mydomain.com/myicon.ico">
<TITLE>My Title</TITLE>
</HEAD>