You need to change the icon of the program/shortcut itself. If you're using Windows 7, Go to the shortcut location, right click it, select properties, make sure you're on the "shortcut" tab and click the "Change Icon..." button. Then just browse to the icon you want and select it. You may have to restart objectdock or even your computer before it will take effect, but it should work. I did this for a few things such as my calculator without any issues.
This method will probably work for other versions of windows besides 7, but since I'm only running 7 I can't test it to be sure. Hope this helps.