Changing icon of URL shortcut automatically?

Is it possible to drag link from website to desktop and give it custom
icon automatically?
Now the URL shortcut link have IE page icon.

Example:

I make a public website which have weather info for some towns. I want
to do so that when users come to my website and drag weather links to
their desktop the icon is not a default URL icon, but some more
informative icon, like first two letters of the town. Icon file is
located in web site.

I found the answer for changing this icon manually per user but it's
not what i'm looking for. Is some kind of ActiveX code only answer?
ActiveX is very often switched off

I tried this using favicon but it didn't work.

Br,

Grooh