In IE go to Tools, Internet Options, General tab. In the 'Browsing History' section click the 'Settings' button then 'View files'. Scroll down the list looking for files called favicon.ico and when you find the one you want just copy it and paste it into a folder on your hard drive. Rename it to something appropriate.
Close the dialogue box and go to 'Organise Favorites' on the Favorites menu. Locate the entry you want, right-click it and choose Properties. You will find a 'Change Icon' button so just point it to the favicon you previously saved.