How do I add a "shortcut icon" to my blog?

I created a shortcut icon for my blog and uploaded favicon.ico via the "images" utility. I added to the mainskin but the icon did not load.

I deleted the existing "image" and uploaded it again, this time specifying the icons height and width as the "image" measurements were "unspecified", but this makes no difference.

I would be grateful if somebody could tell me how to get this working. Thanks in Advance.