Kelli, Same thing happened to me.
1. Delete all your temporary internet files. (It's easier
this way).
2. Launch all the sites that you are missing favicons
from. Try one to start with, not all sites have them.
3. Create a new folder and name it.....IEicons, favicons,
whatever you want.
4. Open temporary internet files and arrange them by TYPE.
5. Find your favicons and drag them to your new folder
(you can't copy them), renaming
them is your choice. Make sure file extension
is .ico
6. Right click( the favorite you want to change icon for)
click......properties / change icon /
browse / find and open your new icon folder / click
on icon /
open / ok / apply / ok your done. Store the
folder where you want, be sure not to
mess up it's file path to the icons. Next time you
delete your temp files your fancy icons will not
disappear. This help?? post back