Favicon can be in different names with the help of link tag. Using the simple favelet i wrote, you can save favicon of any site. Just follow those simple steps..
Step 1. Drag this link to your bookmarks bar:
Step 2. Click on this bookmark on the site you want to get favicon. It will open a new window with favicon loaded. Right click the favicon and save it. For this feature to work you need to disable all popup blockers if there is any. Otherwise favelet won’t work.
You can use various online tools to convert favicon to png or other formats.
Here is a random list of my other tutorials:
- Adding javascript to your theme using wp_enqueue_script
- Tutorial: Create your very own dropdown menu stylesheet
- How to hide members only content in your posts
- Custom Dropdown Menu Using WordPress 3 Nav Menus
- How to change default embed size using filters
- Tutorial : Combining multiple shortcodes in wordpress
- How to export registry key

How do I add a favicon to a JavaScript bookmark ?
You can’t add icon to a javascript bookmark. It is something runs on the fly. Icons are for the domains only.