On all versions of IE, before 7 the favicon would not show up unless it was bookmarked, i.e. marked as a favorite. IE7 changed that and does not require it but nomally it helps.
Since I now have the favicon for commentarius we know the icon is correctly constructed and it is in the correct directory. The link in the header will also work sometimes although not all sites, my included, have it there and the favicon still seems to show up.
So for whatever the reason, the icon will eventually show up as it has been correctly done. It does for some reason sometime take a day or two.