right click the folder that you want the image showing on ,select properties choose customise tab then select choose file in folder pictures section, then select the picture you want showing , another way is to rename the first picture to folder this will then show in the same manner that you require.
actually on a closer read of your post you would have to have the first image saved as an ico file then change the folder icon same steps as before ,properties /customise /change icon
a good place to convert an image to an ico file is here. http://www.convertico.com/
i have done this with my movies folder