Jeff Davis wrote a great FAQ on Favicons in IE7 in his blog. There he addresses the following issues:

• How do I make a favicon appear for my site in IE7?
• How often does IE download the favicon?
• I see the wrong favicon for some sites I visit. How do I fix this?
• I put a favicon.ico on my site as you described, but it still doesn’t appear.
• I verified that my favicon really is an icon, but it still doesn’t appear.
• How do I create a different favicon for every page on my site?
• I changed my site’s favicon to a different icon, but the old one still shows in IE. How do I force IE to update?

For the answers, head over to jeff’s WebLog.