Are they the same resolution and everything? Saved in the actual .ico format and not just retagged?
You might try just naming it favicon.ico as well, which is usually recognized (though I know you don't really have to).
Thanks, still cannot get to work. Maybe if I start from scratch, how do recommend I create the .ico file? I have a roughly square logo saved in PS as a .pst. What do I do from there?
If you don't have it already, I recommend downloading a plugin for Photoshop to save files as the proper .ico format. You can get it here: http://www.telegraphics.com.au/sw/
Make sure you've got your file set to 16x16 (higher resolutions can work, but this is a safe bet; and a fast loader).
This tutorial should help you walk through the other details of the process: http://www.photoshopsupport.com/tutorials/jennifer/favicon.html
Try Save for web as a PNG-24 file type. Then rename it manually to favicon.ico.
When you upload your new favicon, you will need to clear the old favorite's link from your browser and re-bookmark it. IE is rather stubborn about displaying favicons. You may need to close and restart your browser a few times. Eventually, it will show up.