That's something within the browser, if a site doesn't have one then it has ways of assigning it one in your browser window, but we don't have one of those icons.
Is the other site also a vbulletin message board? If so, then that's why. They both have the same favicon. For some reason, it doesn't always show up for me though.
I've had this happen to the digg favicon being this ones. It was fun until I decided that Digg shouldn't be associated with the board and I changed it.
I've even made a favicon for the board, but Ray couldn't find the place to put it.