These are known as favicons.ico (Favorite Icons) and they
normally will only last until your Internet Explorer Temp files are cleared.
This program will allow you to save the favicons.ico (Favorite Icons)
permanently in a different folder and re-associate your favorites with the
FavOrg - Restore and Save Favorite Icons (Line 108)
FavesToGo - Save Favorties Quickly (Line 108)
courtesy of the man