Changing Icon appearance

[Pete]

 In IE 6 and IE 7 the icons (The Shortcuts) could be changed but after I installed SP3 they all reverted to the default.

The old sure way in IE 7  to keep changed icon from reverting to default was: was to:
Click in order:
Icon
Properties
Change icon
select desired change
click OK
click Apply
click General
select read only
click Apply
click OK
click Apply gain

But this no longer works and I assume that SP3 has had a hand in this.

Any ideas ... or is this just another Microsoft unwelcome change?

Thanks in advance