If you want them to be persistent you can save them somewhere safe and use them that way.

If you save the favicon.ico to a separate folder, you can right-click the Favorite entry (in IE) and select the icon to use. They never get deleted that way.

I must say that having a list of icons to glance at makes use of the Favorites list that little bit easier when it starts getting long (and when you have 1600x1200 resolution, so lots show up).

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Sualdam