Jennie with Firefox a link to a .jpg will show as a favicon in the addy bar and on the tab. Like this example and that is why you were able to change the .ico to a .jpg and have it show.
I didnt use a plug in or add code, I uploaded to and it shows.
This was a .gif and I just renamed it to .ico and it shows as animated.
Internet Explorer handles favicons differently and that would be why you would need a plug in to have it show in IE.