I added favicon.ico to C:\Inetpub\wwwroot\DIMDemo and added the <LINK REL="SHORTCUT ICON" HREF="favicon.ico"> to <Head> of Login.aspx page where locates at C:\Inetpub\wwwroot\DIMDemo\Login.aspx but, doesn't work..
IE won't show it unless you bookmark the page, some other browsers like Firefox for one will request the favicon.ico when pointed to a web site and if found will display it in the address bar.