At the client we have been giving direct shortcuts to web application which sometimes require many different icons. The problem is that the default Windows icons for web shortcuts are very limited.
The solution is to point the icon variable to the shell32 dll, which will give you (and the user) a bit more variety.
The process is as follows:
1. Create the shortcut by right-clicking the desktop and choosing the location.
2. After naming and testing the shortcut, right-click on the shortcut and choose 'Properties'.
3. From the shortcut tab, push the 'Change icon' button.
4. In the browse window, browse to the following path: %SystemRoot%\system32\SHELL32.dll (or copy/paste the path given here).
Windows provides many more options from this dll.