These icons also work in Konqueror, as well as the most recent Mozilla builds.
Although "favicon.ico" is the default filename for these icons, it is possible to use other files. Doing so, however, requires the use of a LINK tag in the page's header. The format is:
<link rel="Shortcut Icon" href="URL-of-icon" />
Also note that Mozilla can use any image format it supports as a favicon; it isn't limited to the fairly obscure .ico format.
As a side benefit: Many Webmasters complain about having their logs spammed with errors when browsers ask for favicons that don't exist. By putting up a favicon, you can help keep your logs cleaner.