I see this all too often. People don't understand their favicon!
The code for your favicon is EASY:
Put this at the top of your page somewhere...
Code:
<link REL="SHORTCUT ICON" href="http://www.yoursite.com/yourfile.gif">
Yes, that's right.. use a gif file! Use a jpg! As long as it's 16x16 and a file type that most computers are going to be able to read, you should be fine!