This one is really odd - and I've tried everything I can think of. I have no issues with this in Firefox, Chrome or Opera. And when I change the icon on the server, it is updated immediately on the other browsers, but still doesn't show up in IE9.
Incidentally, the image is displayed in my "favorites" list when I add it to favorites in IE9 - it just won't show up in the URL address bar. I've also verified that the ico file works for another website. I've also faithfully cleared the IE browser history/temporary internet files each time I've made a change. Here are a couple of the code versions that I've tried in the .ASPX file. The first version is working on another ASPX web site that I'm running:
<link rel="shortcut icon" href="/favicon.ico" />
<link rel="shortcut icon" href="/favicon.ico" type="image/x-icon"/>
Try putting absolute path and not relative path:
<link rel="SHORTCUT ICON" href="http://www.mydomain.com/myicon.ico"/>
Also, where did you put the image. From what I recall, it will automatically pull from a certain location on your server depending on the web browser.