I have copied my favicon.ico file to my Apache document root. I had to add an Apache Rewrite exception for it and now it is accessible from www.example.com/favicon.ico. Bu
IE and Firefox can behave differently (not sure which one you are using). Try to add the page as a bookmark, then click the bookmark (to load the page). After you do that exit your browser and see if the if shows up then.
If that does not work try to clear your browser cache and repeat the above steps that should fix it. I have seen your problem before!