I think Ive cracked it,first select a short cut, say for yahoo, this gives you the internet explorer (blue e) logo. Next bring up the yahoo home page and add favicon.ico to the address bar ie
http://uk.yahoo.com/favicon.ico, this brings up a small yahoo logo, right click and select (save picture as) then open a new picture folder and put logo in .Then go back to the desktop click on yahoo with the internet explorer logo and select properties then select change icon and browse. This brings you back to the picture folders select open folder and click on logo then go through menus and apply the icon,this shoud change the icon on the desktop. I use 1 picture folder for each logo this stops the logos changing when applied.