Yeah, if you want to get into PowerShell or VBS (I really was only looking at CMD.EXE...), you can manipulate the icon. If you know what you are doing.
Editing shortcut (.lnk) properties with PowerShell
You can stuff the icon and icon number in.
$shell = New-Object -COM WScript.Shell
$shortcut = $shell.CreateShortcut('c:\Fully\Qualified\Location\of\linkfile.lnk')
would set the icon to that used in the example in Windows 7.
Playing around with this has shown me that:
$shortcut = $shell.CreateShortcut('.\tempfile.lnk')
Will actually create the link on the root of C: drive. E:.\tempfile.lnk will put it on the root of E:
I really think one would be better off with multiple template files.