1. right click on explorer icon on taskbar & where it says explorer right lick on that and press properties
2. now it will show up shortcut properties .
3. now click on change icon button on the bottom side
4. now click browse & choose your favourite icon
5. Press ok
6. Save Your changes..


why i posted this : when you make a shortcut of explorer on desktop , change icon , pin it on the taskbar & clicking it ,
it will show up like this :
Click image for larger version

if you follow my steps you will get this:
Click image for larger version