Introduced with IE 5.0 is the favorites icon. If you'll notice sometimes when you bookmark a site in IE 5.0+, it gives it a custom icon is your favorites menu. Here is how to do it.
<link rel="shortcut icon" href="http://www.valhallalegends.com/favicon.ico">
As required, put the <link> in the <head> section of your page. The only variable part of that line is the icon url. Create one for your page, put it wherever. The icon need not even be on your page, as long as the url is valid for the icon file.
Cool! I was going to look into that. Thanks for posting this.
Notice that even if you don't have that link rel tag, it'll still default to using favicon.ico.