uh... try deleting your browsers cache first. as you can see others can use it as icon so i really don't know why it doesn't work .
maybe save it again, and make sure it is "GIF" file. the ending of the image should be gif. Click "Save As" and it has to be saved somewhere on your computer, that's right on your desktop or somewhere. then you go to your page and click on your avatar on the left side, a new window should appear with "Upload avatar" and "upload image" and it should work out right. at least i hope so. also you should check these: FAQ #147:How do I upload or remove an avatar for my profile?
I thought it was something special you did so I asked you. I don't know much about the computer to know if the user altered the procedure or if it's a normal troubleshooting on my side. I will try know to see if I can wear the icon.
A: SURE! B: you have to save it on your computer and then on your deviantart page, click on your icon, [it's on the left side on the top of your page] there should appear "change avatar" and i think the rest should be clear. if not don't hesitate to ask me anything ^^'