Custom bookmark Icon

I have seen a feature on a few sites that when you drag the bookmark to your desktop a custom icon is created. How do you set this up?

example site
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jacqueschoquetteAuthor Commented:
Edited text of question.
jacqueschoquetteAuthor Commented:
Edited text of question.
This is a feature of IE5.

To enable this, the website designer places an icon file named favicon.ico in the root directory (and sub-directories) of their website. When a visitor adds the site to their favorites, this icon is used.

It is also possible to change any of the icons that are displayed in your Favorites. Just right-click on the favorite and select Properties. Then select the Web Document tab and click the Change Icon button. Now you can specify your own icon.

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