favicon not working in IE

In IE and FireFox the favicon.ico is only being requested at the first page visited on the site, which means that if the favicon.ico requires log-in (for example your site is a closed site and requires log in) then the icon will not be displayed.

The solution is to add an exception for the favicon.ico, for example in ASP.Net you add in the web.config:

<location path="favicon.ico">
  <system.web>
     <authorization>
       <allow users="*" />
     </authorization>
  </system.web>
</location> 

Right you've not been that helpful (providing source would be have been really useful!) but here you go... Some things to check:

Is the code like this:

<link rel="icon" href="http://www.example.com/favicon.ico" type="image/x-icon" />
<link rel="shortcut icon" href="http://www.example.com/favicon.ico" type="image/x-icon" />

Is it in the <head>?

Is the image a real ico file? (renaming a bitmap is not a real .ico! Mildly different format)

Does it work when you add the page as a bookmark?