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Changing filetype icons
Customizing filetype icons can mostly be done choosing 'view' in any window, then 'folder options', 'filetypes' tab. Select the filetype you want changed and click 'edit'. Not all filetypes are in the list, like .sys- & .drv-files. Still... if you're often busy in your Windows- & system-directory it's (besides fun) good to have an icon for every filetype you can recognize instantly:
 
General howto
The way to handle this manually (though there's no need to, anymore) is to open (x:\Windows\, or x:\winnt\) regedit.exe and go to HKEY_CLASSES_ROOT. Underneath the long list with extensions are the keys called 'drvfile', 'sysfile' etc. Opening these you'll find a key called DefaultIcon. Clicking on these let's you see the string value that specifies the path to the icon, on the right. Rightclick on the string, choose Modify and enter the path to your own icon.

You might prepare a little, note which filetypes you wanna change and look for some icons that look great together. Then create a folder somewhere, give the icons a name you can remember. Much more easy if every time it's like "x:\icons\drv.ico".

Tools: IconPhile (free, all versions). It applies all these changes for you, lets you add extensions and what's more, you can save all your changes as a scheme, to recover after some installation puts the defaults back... or exchange it. Another pro to this utility is you can apply an icon to all different extensions, for instance not all Winzip extensions need to have the same icon. Plus it has a toggle-option to show icons inside files (see below).
.Url icons
There's one thing that can't be done, and can't be done at the folder options either. That's changing the icon for .url-files (internet links). Annoyances.org provided a solution, though:

Open regedit and go to HKEY_CLASSES_ROOT again. Select the key "InternetShortcut" and modify the binary value 'EditFlags' to say 00 00 00 00. Next, delete the (sub)key
HKEY_CLASSES_ROOT\InternetShortcut\shellex\IconHandler
(the folder on the left, that is). Close and you'll be able to choose an icon.
Note: this will disable the "favicon" in IE5; creators of webpages will no longer be able to set up the icon that shows between your favorites. And you can't assign an icon to any .url file yourself too.
Solved! Grigri provides you with a new .dll and some simple instructions to have that custom .url icon and save the ability to assign an icon to an individual file, and have favicons still show up. Check it out here!

About this "favicon". Got a website and want an icon that IE5+ will display in the favorites list and links/address bar ? Just create one - with a decent 16 x 16 version - that's called favicon.ico and put it in the root of your pages. If you want a specific one for a single page, add a line like
<link rel="shortcut icon" href="http://www.xxx/xxx/xxx.ico" />
between the <head> and </head> tag at the top of the page.

IE doesn't really handle this very well, though. Whenever your temporary internet files are cleaned up, they disappear too, and you need to dig them out before that, assign manually, or bookmark again... ZDnet offers a free tool that saves them automatically, and makes the feature available for IE4. Plus FavOrg has some more options (thanks kendo for pointing this one out).
Alternative utilities
There's Aareus IconCommander. It's shareware, but can also change individual files (for instance two .doc files, but different icons).
Yay! Want that option - icons for individual files - for free, and filetype options in rightclickmenu, plus drive icons, folder icons, here's IconX. Former shareware, so you'll have to mail Johannes Plachy for a key, but it's free and it's sweet :)!
Filetypes with icons inside
Some filetypes really shouldn't have an icon assigned to them, because they have their own icon inside. This particularly is the case with .ico, .cur and .ani files...

.ico, .cur, .ani
If you find there's assigned an icon on one of these filetypes and you can't view them anymore, you can edit the registry to restore the default view. Go to HKEY_CLASSES_ROOT and find the corresponding key underneath the list of extensions (called "icofile", "curfile", "anifile").
Underneath is a key called "DefaultIcon". Modify the value on the right to say "%1", like it should.
.bmp
These files are really just (multiple) bitmaps with another extension. Knowing this it's not hard to imagine Windows can display the contents of a bitmap as an icon (resized). This way you'll have an iconic preview of the bitmap, making it easier to navigate your folders.
To achieve this find, at HKEY_CLASSES_ROOT, the key called "PAINT.PICTURE". Again, to DefaultIcon and let the default value on the right say "%1". Now you'll see your bitmaps in explorer.
You might need to edit some other key though, if your default image editor for .bmp changed the behavior of this key and made it's own. Think creative here and search for the name of the application somewhere in this area...

Want that happening for .jpg/.gif too ? Valery Tolkov provided a solution. GIcons (free, Win 9x/2k) is a shell extension that does it, and adds a preview property sheet too.
.exe, .dll, .cpl
There's also some common system files that have icons contained in them, like .exe, .dll, .cpl. For executables you might prefer this icon to show up, they're recognized better. Besides, you can assign an icon to those executables that don't have an icon inside. Most iconchangers let you do so. If not, find the regkey HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Current Version\explorer\Shell Icons. On the right, modify or create the string value called "3".
For .dll and .cpl you can't assign an icon to those files that don't carry an icon (though .cpl files do, most of the time). You might choose to assign an icon to them, this way creating a better view in your system folders.

For .dll, though, there is another option, to assign a custom icon, but have the ones with icon(s) inside show that instead! grigri has a special .dll plus some simple instructions to accomplish that. Updated to work for .cpl and .ocx too, with seperate icons!
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