Is this a company computer or once was a company computer?
Reason why I ask is that I have seen rules where changes aren't saved on logoff/shutdown and its because the computer was configured to dump these changes.
However I have also seen where the folder icon with thumbnail image changes as a result of whatever pictures reside within the folder, if thats what your referring to. Such as my folder with digital pictures from camera as more are added and one of them is alphanumerically the top of the list in name it will then take the thumbnail focus on the folder icon. One way around this so that that doesnt change would be to name a image 0000000.jpg for say a jpg image you want to be always in view in that little thumbnail view of the folder icon. All other files saved there should follow that alphanumerically and so it will stop the changing as long as something isnt named in front of this alphanumerically.