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Animated favicon is supported only by Firefox, for now. (Are you still using Internet Explorer??
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Animated favicons are stored in .gif image. You can see an example of animated icon at information security awareness blog , it shows in the address bar and on the tab. You can create it yourself using some gif animation software or exporting from Adobe Flash (I do it). When you have your gif icon ready, upload both “favicon.ico” and “favicon.gif” to your web root folder, then add this code to your webpage somewhere between <head> and </head> tags: