Changing Icons on the desk top

[U-Turn]

I just upgraded to IE7, my dad has a Humana website that he will be checking
frequently. I saved to fav. then made a short cut and draged it to the
desktop. When I try to change the Icon I go to properties, change icon and
pick the one he want's, hit apply and then ok. NO change. Went to the desktop
properties nan made sure lock desk top items was NOT checked. Any one have an
idea what to try next

 

[housetrained]

right, delete that shortcut - right click the opened website - click on save
shortcut on the desktop - done

 

[U-Turn]

I saved the link to the desktop and it works, but I still can't change the Icon