Courtesy of Frank Saunders, MS MVP:
Favicons, as they're called, are stored in the Temporary Internet Files,
which are ... errr ... temporary.
Try FavOrg:
http://www.gratilog.net/anglais/internet/favorg.zip
http://uk.geocities.com/personel44/files/favorg.zip
FavOrg - Restore and Save Favorite Icons (Line 108)
http://www.kellys-korner-xp.com/xp_tweaks.htm
or get AM-Deadkink
http://windowsxp.mvps.org/ie/favicon.htm

--
Vincenzo Di Russo
Microsoft® MVP - Most Valuable Professional
Windows - Internet Explorer 2003/2004/2005
My home: http://mvp.support.microsoft.com/
My Blog: http://blogs.dotnethell.it/vincent/

mm wrote:
> this is a very trivial issue, but just thought i'd ask.
>
> many sites stored in favorites are accompanied by their own icon which
> display in the pull down menu. i have the problem where after I restart
> my computer, the icons are replaced by the generic explorer 'e'. does
> any one else have this issue and how do i resolve it?