Can someone explain this to me?
 

This is example error file on my server:

[Thu May 20 16:43:59 2004] [error] [client 212.144.42.118] File does not exist: /home/mymap/public_html/404.shtml

[Thu May 20 16:43:59 2004] [error] [client 212.144.42.118] File does not exist: /home/mymap/public_html/favicon.ico

What is this? Is this created when people bookmark my site?

the favicon one is, not sure about the 404.shtml. Considering the timestamp and same IP I would have to say yes that is too.