LOADING YOUR FAVICON ICON
When your favicon icon design is finished, simply name it 'favicon.ico' and upload it into the root directory of your web site. If you made it with Golive, you'll find it's already in position for uploading.
To see how your mini-logo looks, open Internet Explorer (version 5 upwards), Firefox, Netscape, Opera, Safari on the Mac - or another browser if it shows favicons. Go online and add your site to your Favorites or Bookmarks list.
In Netscape, at least in Netscape 7 on my Mac, the favicon logo appears on the address bar and tabs, whether the site is bookmarked or not.
If your icon doesn't appear immediately in Internet Explorer 5 or later, it should do so if you close and reopen the browser. If not, try removing any previous bookmarks to your site, rebooting your computer and adding them again.
Also check that:
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The file is named 'favicon.ico' [without the quotes].
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It's all in lower case. If your art software has called it 'favicon.ICO', rename it 'favicon.ico'.
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The graphic is present in the root directory of your web site. (Same directory as your 'index' file).
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The main size is 16x16 pixels and the graphic is 16 colours. If you made your icon in Golive or a dedicated icon editor, other sizes and colour depths may be present in the icon file as well, but 16x16 must be there at 16 colours.
Favicon is notoriously fickle. It still may not show, but could suddenly pop up when you least expect it. If you've made and loaded it correctly, it should still be seen on other computers. Ask around.
If all fails in your own browser, either your ISP will not allow favicons (rare), or a long forgotten faviconless bookmark could be stored, deep in the dark mysterious Microsoft machinery of your PC. After all, you're more likely than other people to have bookmarked your own site in pre-favicon times. In this case
all I can suggest is that you seek intensive therapy from a staff member at Redmond.
Always, of course, when your favicon is out on its rounds, you're dependent on your viewers bookmarking your site. They may clear their cache or your icon may disappear for reasons of its own (or Microsoft's).
Don't tear your hair out. If your mini-logo is striking enough, your surfers will remember it. Meanwhile your favicon will be wandering around the world impressing other people on other browsers!
PURPLE P.S. It's possible to show a different favicon for different pages of your site. (Or not show, as the case may be!) This dilutes the effect and is not recommended. One image is much more likely to be remembered. Would you show a different logo every time you wrote a letter? Make one favicon and show it as often as you can.
Good luck! ... 
About icon files... 
Favicon - loading the icon design
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