After changing the default application for a specific file type, you can change its icon from Folder Options > File Types
window. Select the file type, click on Advanced
. Now in Edit File Type window, click on Change Icon
. Now you can select whatever the icon you would like to use for that file type.
EDIT: The questioner is looking for a solution for Vista. Hence, the following article may be helpful: Change file extension associations and file types in Vista and Windows 7. This is the link to the program in the article: ASHociation.