Favicon Issues?

Up until now, the favicon for my website (phpBB) has been the default Internet Explorer one. I decided to change it to a custom .ico file using the http link, but not only did it not work, the default green bubble popped up instead! I find this weird for two reasons, one is because I've never before in the entire time my site's been running had that as my favicon. Not even any of the other illiweb models work!

The odd thing is, if I bookmark the page, the favicon shows up. Does anyone know what's wrong? I would have rathered even stick to the default IE icon than this, so if anyone only knows how to change it back to that, it would be appreciated. Thanks!

General>Forum>Configuration
Forum favicon :Add the url there.
Save.

On IE, you might not be able to view the favicon. But for other browser it shall appear.

Okay, I suppose it's just the IE browser then.
I'd download google chrome of firefox, but my school's admin has taken over total control of my computer, and it's still in effect after I graduate. Thus, I'm stuck with crappy IE.
Thanks though!