Those icons are known as "favicons."
To make them permanent, perform the following:
* Manually clear TIF
* Save page as favorite (Favicon is only downloded during this step)
* Open 2 windows side by side -- the TIF view from within IE, and
a Windows Explorer (NOT Internet Explorer) window, set to the
folder/directory you wish to store the Favicons in.
* Drag-n-drop favicon.ico from TIF to the Explorer folder
* Rt-click on the Favorite, click Properties, then Web Document
* Invoke the "Change Icon..." dialog and set to the .ico file you just
dragged
* Repeat for each site
>.
>
TIF = Temporary Internet Files (aka, cache).
Accessible from:
Tools > Internet Options > General, "Delete Files..."
You can download FavOrg at line 108, right,
http://www.kellys-korner-xp.com/xp_tweaks.htm
It's been working very well for me.