favicon.ico is an icon file Internet Explorer 5 looks for when
someone using IE bookmarks your website. If
favicon.ico exists and is in the right format, IE will download
that image and use it in your favorites list, location bar
and desktop. If favicon.ico doesn't exist, then you get
a "File does not exist" error in your error log.
The easiest way to make a valid favicon.ico is to use the online
java favicon.ico generator at http://www.favicon.com