@bestjimmy: Well, I think it takes a while for the favicon to show up in both the areas you mentioned.
In fact, the instructions on that online favicon generator page says:
QUOTE
Note that your favicon may not appear immediately after you've completed the above two steps. In fact, it may take a few days, and in IE, sometimes the favicon will disappear from time to time due to a browser bug.
However, I must admit that in my case, the icon appeared in both fields [URL field and the Favourites] immediately, once I
closed IE and re-lauched it. I had uploaded the favicon into the root directory of my site as well...