This guide shows you how to change icon for any desktop shortcut in Windows 10.
I will use a "Show Desktop" shortcut as an example for demonstrating the steps.
Step 1: Right-click on the target desktop shortcut and select Properties from the context menu.
Step 2: After the shortcut's Properties dialog opens, select the Shortcut tab, and then click the "Change Icon" button.
Step 3: By default, Windows looks for some icons from the location "%windir%\explorer.exe", and show them in the list. Select your desired icon from the list, and click OK to confirm that.
If you can't find your desired icon, you can type %SystemRoot%\system32\imageres.dll in the field under "Look for icons in this file" and hit Enter so that it will show a large number of icons in the list for you to choose from. Select your desired icon and click OK.
Step 4: Click Apply followed by OK. Then the icon of the selected desktop shortcut is changed.