Verify that the in the registry key:

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Shell Extensions\Approved]

There is a value:

"{FBF23B40-E3F0-101B-8488-00AA003E56F8} {0000010B-0000-0000-C000-000000000046} 0x401"

This value should be like this: "01 00 00 00 xx xx xx xx xx xx xx xx xx xx xx xx"

The xx can be any value.

If the first part is like this "00 00 00 00 xx ... " favorites icon won't work. I don't konw why but IE explorer verifies the first DWORD like a boolean value and if it is zero it doesn't work.