In XP If you right click the Icon on the desk top and select Properties.
You then, in the new window, have a Change Icon button.
Clicking on this brings up an assortment of usable Icons. There is also a 'Browse' button, which when selected, opens explorer and you can search the various programs for icon files.
If you want to create a new one IrfanView click here is a handy program which enables you to convert most pics to icon files.
Hope this helps.