Is it possible to change a Desktop Icon's picture? Yes. I get bored with those little yellow files on my desktop. Here's how...
1. Right click the icon to be changed, choose Properties.
2. On the Shortcut tab choose the button "Change Icon..."
3. Choose a new picture in the window or click the "Browse" button and find the Icon picture you made in MS Paint (below)...
Can I use one of my own .jpg's for an Icon? Yep...
1. Click Start, click All Programs, click Accessories, and then click "Paint"
2. Click File, Open, and choose the picture you want to use.
3. Click File, Save as, and under "Type" choose 24-bit Bitmap.
4. Save
5. Go to "My Pictures" (XP) or "Pictures" (Vista), and find the picture you just saved.
6. Right click and "Rename" the file extension from ".bmp" to ".ico"
7. Now change the icon on your desktop to this new .ico image using the instructions at the top of this post.