As I mentioned, I'm running XP (SP3). This happens with all programs so far.
I have discovered that if I minimize the program using the minimize button in the title bar I get the screenshot dock icon. If I then click on that dock icon to restore, the full-size icon returns.
The problem seems to be limited to minimizing the program by clicking on the dock icon. If I do this and then click it again to restore, the icon stays as the screenshot. Hope that's clear.