Q:

IIS7: Set expires header on favicon

I know how to set expires headers for whole directories, but how do I set an expires header for an individual file - e.g. the favicon.ico file in the root directory?

A:

It appears that you need to use a custom developed HttpModule to do this.  Here is a similar question from StackOverflow about this.  It doesn't look like there is anything built in.
IIS7: Setting far future expires header on specific files

