I'm able to show the icon without problem on Firefox, but on Internet Explorer 7, the icon cannot be shown. Can someone please paste the code and try on your Internet Explorer 7? What missing did i do?
<html>
<head>
<link rel="shortcut icon" type="image/vnd.microsoft.icon"
href="http://yourhtmlsource.com/favicon.ico"/>
</head>
<body>
</body>
</html>
Saving a JPEG of GIF file as .ico might work in some browsers. But .ico is actually a different file format.
Try this online favicon generator: http://www.degraeve.com/favicon/
Edit: Just downloaded your icon. It has the right file format. But I could also see your icon with IE7 (on Vista).
Try cleaning the cache, favIcons gets cached until "the end of eternity".
I normally, to be sure, upload my icon to http://www.favicon.cc/ and re-download it from there. Works every time!