This is a free icon editor program that I have seen recommended several times.
http://icofx.ro/index.html I’ve used it once or twice, but not lately.
The simplest way I know to make an icon from a JPG is to open the JPG in any image editor [MS Paint, etc.], crop the image so it is square and then reduce its size to 32 pixels each way. Save the image as an .ICO file. If that is not an option, save it as a BMP file. If you saved as a BMP, go to Windows Explorer and rename the file, but only change BMP to ICO. [If you get a warning about changing the file extension, just click OK.]
Save the new icon in a place you can always find it. If it is ever moved the shortcut it goes with won’t be able to find it. [Put it in the program‘s folder if it goes with a program or make an ‘Icons’ folder in your ‘Pictures’ directory.]
Next, right-click on the shortcut icon you want to change, select ‘Properties’ and click the ‘Change Icon…’ button on the ‘Shortcut’ tab. Use the ‘Browse…’ button to navigate to the icon you just created and click ‘OK’ until you are back to your shortcut. The new icon should appear right away.
This might not be the best way to do all this, so anyone please correct me.
It may well work if you make the icon image bigger than 32 pixels, but I think that is the standard desktop icon display size so the extra pixels would be wasted.
This worked for me on Win XP, but I didn’t try Vista.
You might want to write down the location of the original icon, in case you need to go back to it.
Hope this helps