You can change the icon of pinned websites, but it's a bit of a hassle and a bit technical. Apparently in the pre-release version of IE9 it was simple, but they removed that functionality for reasons I've not been able to discover.
The pinned shortcuts are located in:
C:\Users\[USERNAME]\AppData\Roaming\Microsoft\Internet Explorer\Quick Launch\User Pinned\TaskBar
Find the shortcut you want to change the icon on, and change it's filename extension from ".website" to ".url" Note that the ".website" extension will not show up in Windows Explorer, so you'll have to use a CMD box or other method to change it.
When it's renamed, you can right-click the shortcut and change it's icon. When you're done, you'll need to change the filename extension back.
Alternately, you can open the shortcut (without changing the extension) in Notepad or other text editor and change the IconFile and/or IconIndex lines manually.
Whichever way you do it, the new icon will not appear on the Taskbar until the icons are refreshed, or the icon is unpinned & repinned. I find the easiest way is to right-click and UNPIN then right-click and PIN while in the Taskbar folder mentioned above.
Hope this helps someone. Hope even more that M$ fixes this screw-up.
- Dayton - Fri. 07/15/2011 @ 16:06:34