If a file is saved on the desktop it is often not possible to change the icon associated with it. For example a pdf file usually has an Adobe Acrobat Reader icon which cannot be changed. However it is possible to change the icon if the file is saved elsewhere, for example in the Documents folder, and a shortcut is created on the desktop. Right click on the shortcut icon, click properties, click the 'shortcut' tab and then click "change icon".