When you create a shortcut, Windows automatically uses the application icon or file type icon as the default image. You can easily change this to which ever icon you would rather have in a few simple steps.
First, right click on the shortcut and select Properties:
Then click Shortcut and then Change Icon:
This next window lets you Browse your drive for a file with the icon you wish to use. For example, you could use a new application as the icon or download an "ico" file from the internet to use:
Once you are done, click OK to return to the file which will now have the new icon you selected: