you can change the desktop icons of links and folders by clicking on the icon in Properties
This is not possible for any other kind of file by design. Honestly, I dont think it makes sense to change it on a per file basis. Why would you want to have one movie have a different icon than another?
(Except if you want to be able to distinguish your pr0n from your tv-shows, alright
I hope this helped. I am sorry that it is not possible,