It know it works for the following browsers
because I've done it

In Internet Explorer

Drag the Blue e to the Desktop

In Mozilla Firefox

Drag the File Icon to the Desktop

In Netscape

Drag the Missile Icon to the Desktop

Do you want to change the
Shortcut Icon to something different..?

Here's some Icons I made

I put them all in one Zip File

Icon/Cursor Links Icon/Cursor Preview
Zip File Containing All

PLEASE USE These...!