I'm pretty sure the favicon has to be an .ico file for it to show up in the addressbar in IE while other browsers can use the .gif.
Forget about the .gif image and just use an .ico file. Make the one reference in your header and you're good to go in all browsers.
HTML Code:
<link rel="shortcut icon" href="http://www.yoursite.com/favicon.ico"/>
You might have to bookmark the site before IE will display the icon.
If you want to, you can do a search for ".ico converter" and find plenty of free applications that'll let you do some pretty sweet icons.
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