Yeah... I forgot to mention you need to keep that file somewhere. Thanks for clarifying that, joshz.
Also, building on the idea that joshz mentioned earlier about using ANY graphic as the icon, I tried something that works well if you want a CNN icon to go along with the CNN link. Here's how it goes, if you want to try it.
1. Go to the CNN site. Find the CNN logo. Bigger is better, but you can use the one on the corner of the page.
2. Hit Command-Shift-4. This will turn your mouse cursor into a "cross-hair" cursor. "Aim" the cursor at one corner of the CNN logo, click the mouse, and drag to the other end of the logo. Then let go of the mouse button. This will capture what you selected as a graphic file. You don't have to be too precise for this step. For this purpose, you can just use the CNN part and leave off the .com.
3. The captured graphic file of "CNN" will appear on your desktop. Double-click it and it should open in Preview.
4. In Preview, select the exact portion you want to use as the icon. Click and hold on one corner and drag to the other corner, then release the mouse button. If you want to use the entire image, you can Select All, which is Command-a on the keyboard OR File -> Select All from the menu.
5. With the desired portion selected, do a Copy (as explained previously).
6. Find that URL link file for cnn.com. Do the Get Info like before, and select the icon like before in the Info window. Do a Paste (as explained previoulsy). That "CNN" image should become your icon.
