How To Save Internet Icons

I run a P-II 450 with Windows98SE. I’ve cruised all over the web and located several thousand icons. But, the ones that I’m looking for I only find when I bookmark a site with IE5.01. However, upon reboot or saving Favorites to Backup, the icons disappear. Is there a way to save the icons at the time of receiving, or is there a download for most major internet icons?