trouble with shortcut icon

I tried the following link to create a shortcut icon for my browser

<link rel="shortcut icon" href="/icon.gif" type="image/gif">

I tried putting icon.gif in the same directory as the .rhtml and also
in the public/images directory and neither works.

I also tried removing the slash as follows, but this only works when I
load the web page in the browser without going through Rails:

<link rel="shortcut icon" href="icon.gif" type="image/gif">

I also tried other variations like this
<link rel="shortcut icon" href="./icon.gif" type="image/gif">
<link rel="shortcut icon" href=".\icon.gif" type="image/gif">

I'm developing on Windows.

Any ideas?

Thanks! Chirag