creating an icon for a shortcut?

[aa]

I have a shorcut to a file on my desktop. The shortcut is represented by an
icon.
If I wanted to replace it with another icon, I do right-click it, select
Property and then click replace icon and select a necessary icon from a
list.

If I wanted to have a special icon of my own, how do I create such an icon
and how do I make it to appear in the list of icons available for a given
shortcut?

 

[Bob I]

make a 32x32 pixel picture in MS Paint. Save As .BMP file, rename
extention to .ICO and then point the Shortcut to it for the Icon.