The info below was collected a year and half ago.
The unique icons are stored in the TIF (Temporary Internet Files) cache. When you empty the cache, the unique icons are deleted, and the default IE icon automatically replaces them.
Depending on your version of Windows, and the options selected, the TIF can be emptied by:
1. Rebooting or logging off
2. Clicking Internet Options> General > Delete Files
3. Using third-party software, such as Webroot's Window Washer.
In order to keep the unique icons that were originally attached, you would have to move the icon into a permanent folder:
1. Locate the icon by clicking Start > Find (or Search) > Files > fav*.ico.
2. Copy and paste the icon file to another folder, such as C:\my icons.
3. If you wish, rename the icon file to something meaningful. The extension should remain .ico.
4. Follow the instructions below to point the bookmark to the permanent icon file.
It is possible to customize the icon for any bookmark that you wish:
1. Right-click the bookmark, click Properties > Change Icon
2. Select an Icon from those displayed, or
3. Change the filename to another icon file and select an icon from those displayed, or
4. Click the Browse button, select another icon file, and select an icon from those displayed.
5. Click OK.
There is also a program that will allow you to save the favicons.ico (Favorite Icons) permanently in a different folder and reassociate your favorites with the stored icons:
FavOrg - Restore and Save Favorite Icons (Line 108)http://www.kellys-korner-xp.com/xp_tweaks.htm