It should look like this now:
If you add me to your favorites, then it should show up in your favorites list as well.
If you would like to add your own icon to your own site, then here is what you need to do:
First: Create your icon, making sure it is 16x16 pixels and has the name
Second: Save your icon on your webserver.
Third: Somewhere between the tags
</HEAD>, you need to place this code:
<LINK REL="SHORTCUT ICON" HREF="http://www.mydomain.com/favicon.ico">
After that, it should work...
Update: To see the little icon (if it doesn't show up on its own). Watch this video.