Changing the icon on a shortcut is really convulated and has been so since OD was out. If the icon is not in the default directory, then you first need to add the directory to the directory list and only then you can open the directory to select the icon.

Both the directory and icon selection method are opaque since there is no 'Open' / 'Select' button.

This type of simple operation has been handled much better in windows explorer circa 1995. Win7 has improved on it significantly and there is no reason why OD can't follow suit.