|You need to create a plain text file using notepad and call it AUTORUN.INF and put it in the root of your usb flash drive. (ie not inside a folder).|
The file should contain the following text on two separate lines:
flashdisk.ico is the name of the icon you want to use and this icon should also be in the root of the flash drive. You can give the icon any name but make sure the text file contains exactly the same name.
Reboot (or logoff and on again) and you should see that icon in My Computer. It will stay with the flash drive regardless of what drive letter is assigned to it.