Right you’ve not been that helpful (providing source would be have been really useful!) but here you go… Some things to check:
Is the code like this:
<link rel="icon" href="http://www.example.com/favicon.ico" type="image/x-icon" />
<link rel="shortcut icon" href="http://www.example.com/favicon.ico" type="image/x-icon" />
Is it in the <head>
?
Is the image a real ico file? (renaming a bitmap is not a real .ico! Mildly different format)
Does it work when you add the page as a bookmark?