1. Choose any executable 2. Create a short cut on the desktop 3. Launch the shortcut 4. On the taskbar right click the icon and pin to taskbar 5. Close the app 6. Right click the icon on the taskbar 7. Right click the app description to bring up the context menu showing properties 8. Click properties 9. Change the icon to something else and close
The icon does not change on the taskbar until you reboot.
It is the default action in Windows 7. The clumsy way to do it is to drag the program to the desktop first, change the icon, and then pin it to the taskbar.