Your image must be 16×16 pixels or 32×32 pixels, using either 8-bit or 24-bit colors. The format of the image must be one of PNG (a W3C standard), GIF, or ICO.
Do not use JPG.
Internet Explorer doesn’t maintain all web standards. Any Standard Browser like Chrome, Firefox, Opera, Safari etc. can show all of our Theme Features without any issue.
Actually, what I pasted above IS the standard. This time it is the other browsers that are deviating from the standard by allowing the use of JPG files. IE is doing exactly what it is supposed to be doing.
In fact, the whole concept of favicons was invented by Microsoft, for use as shortcut icons in saved IE favorites. Before IE started supporting it, no other browser supported favicons. IE was first. Microsoft is the one that set the standard. All other browsers that support favicons only do so because of copying a feature from IE. It has been so heavily copied by browser developers, that it eventually became part of the W3C standard.
Just because a browser supports something that is not part of the standard (JPG), does not mean that a browser that complies with the standard is doing something wrong. Don’t blame IE this time, it’s not IE’s fault.