For a few years now that entire link thing is not necessary..

Simply create your favicon.ico file (name it favicon.ico) upload it to the public html directory of your website and you're done.. Firefox, Chrome, Opera, Safari and IE will use that favicon file for book marks etc. all of them except IE will also use it on the browser tabs.

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Ron Boyd
website consulting (design, optimization, marketing) :: Follow Me: @orionsweb