I know IE allows it in 5/6 for bookmarked pages. It will appear in the address bar if the page is bookmarked. Here's the method for IE, and Konquer (Linux):
Create a true icon, not a bitmap renamed to .ico. 16x16, 16 color. Use something like Graphic Converter or another icon program that makes true icons. Name it "favicon.ico". Now do one of the following three methods (# 1 or 2 prefered, #1 is best).
1.) You can place a copy of your icon in the root directory of your site (where your pages most likely reside) this being by far the easiest and preferred option.
2.) If you have a large site with pages in multiple directories you can place a copy of your icon in each directory.
3.) Or you can alternatively place a single copy of your Favicon anywhere you wish and include a LINK TAG within your HTML pages to point to it. The tag should look like this: <LINK REL="SHORTCUT ICON" href="/your/path/favicon.ico"> and should be placed in the 'HEAD' section of all your pages. With this method you do not have to call your icon 'favicon' but it's generally simpler. Don't forget to change the path name to where your icon resides.
Good luck...