If I understand this correctly, what you are referring to are called favicons. They are a feature of the sites you visit, not of your favorites list per se. When you clean your cache or clean your Internet Explorer Temporary folder, they are lost. As you revisit the corresonding sites, they should be restored. If you wish, they can be stored in a premanent folder (as you get them back). You can find the instructions for doing this here:
http://www.kellys-korner-xp.com/xp_favorites.htm
Hope I understood and answered correctly.
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Posting Maven
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