1. Right click the Shortcut you have.
2. Click on "Properties".
3. Normally you get to this window, if you are editing a shortcut:
4. Click on "Change Icon..."
5. Browse where you saved the .ico file.
6. Select it. Hit Ok. Hit Apply. Change the name of the Shortcut.
7. Have a pat on your shoulder, having a big smile. You just created your own Shortcut Icon. (Which the game should have done already)