To make your USB flash drive show up in Windows with a custom icon follow these steps:
First find an .ico file you want to use.
Next, name your your .ico file autorun.ico and put it in the root of your drive.
Then create a text file with notepad called autorun.inf in the root of the drive and put this inside it:
[autorun]
icon=autorun.ico
(You can actually name the icon anything you want as long as you put the correct filename in the autorun.inf file