favicon.ico(see "MSIE 5 favicon bug" for an explanation about what this file is, along other nice things). This give to web servers admins a way to know that someone has bookmarked it's site; the info includes the date and time of the operation plus the address IP of the machine which bookmarked the site, which can be used to identify you. This may or may not bother you.
If you access the net through a web proxy, it may be possible to block request for the
favicon.ico file. Contact your network administrator for more information.
It seems that some of the so called "personal firewalls" have the ability
of blocking specific request from your browser. If you use such program, it may be possible to block
requests for the
favicon.ico file too (YMMV). Consult the documentation shipped with the program.
favicon.icofile and only took a measure to fix it when it was fully disclosed on the net. I don't have plans to contact them about this privacy issue just because I don't want to waste my time anymore with this.