btw, if you're having trouble trying to make it work with Internet Explorer, then good luck. Support for the favicon is really intermittent in IE, and I think you have to actually add the site to your favorites before it'll show up.
To anyone reading this...5.2 has favicon support listed as a feature...but unfortunately what's out there is essentially broken. We should have a fix in the next version. So if you're trying to use that version and things aren't working...that's why - you're not crazy ;-)