IIRC, it's MSIE that can't handle alpha transparency...
Anyways:
In Netscape (although Mozilla based), all the icons appear nicely from the first time...
In MSIE, the favicon is only used for the bookmarks (like it was originaly designed for), so if you add the site, the icon is shown in the bookmarks, after that, if you load the page, the icon will also show in the addressbar.