Internet Explorer caches the favicon.ico file in the "Temporary Internet Files" folder, so when you empty the cache folder, you'll delete the fave icon files. IE7 still works this way. Some alternate browsers, like Firefox, keep the icon files.
The IE work around is messy. (skip reading the rest of this message if you don't want to know)
You have to search for the specific favicon.ico associated with the site you are working with, copy it to another folder location, rename it, [whateversite].ico, and then right click on the URL in "favorites" select properties and click the button that says "change icon". Set the name/path to where you saved the icon.