Hmmm, the version of Camino I'm using supports them just fine. You might try emptying your cache and history. I had to do that to get Safari to see my new one when I updated it.
IE doesn't support them at all, so that explains why you're not seeing it there.
As far as not linking explicitly, most servers will automatically put one in if it's called "favicon.ico" and is in the server's root directory.