as the previous poster mentioned it should be in a .ico format and is named 'favicon.ico' you can find more information at favion.com with this file, place it inside of your public_html folder on your server
favicons will display just as soon as uploaded and coded provided you have never, ever, ever, ever, visited the site with that Web browser.
IE is a particular problem... you must completely clear the cache, remove the site in any bookmarks or favorites... spelling etc... completely remove every trace of ever having visited the non-favicon version of the site. Or as mentioned... you will need to wait until all traces are flushed from the Web browser.
But all is working!
Eye for Video www.cidigitalmedia.com
Sometime they just don't work in IE. Remember IE is still one of the newer browsers. It's nothing you did wrong. I would make another Favicon, different colors etc. Then you will be able to get it to work. Internet Explorer is quirky like that.