Just reset your cache in IE.
I empty cache but not working anyway (using multisite)!!
In what format you save favicon? Old IE I think use only .ico files. Save it in GIMP (16 by 16 pixels).
Favicons is messy thing. Try to open your website on different computer with IE where dont open this site early.
I generated my favicons here http://www.prodraw.net/favicon/ to favicon.ico
When I look at the site in IE (10) the default WordPress-favicon is showing, not my own. =( I have tried to empy cache = NOT WORKING. I have also viewed it on others computers = NOT WORKING.
What is your site address? WordPress don’t have default favicon.