While creating the shortcuts for anything on the desktop the created icon consists of an arrow.
So, lets get started!
I tried it and changes the shortcut Icon and that gives a new look on my desktop.

So I thought of sharing this guide with you so that you guys can also implement this.
The method is quite simple and straight and you will not need any third party tool.
So follow the below step by step guide discussed below to proceed.

#4 In this step you will be requiring to create a new value inside the Shell Icons key.
For doing it up- Right-snag the Shell Icons folder icon and chooseNew > String Value.
Name the new value29.

#5 This will even be required to modify the values inside the newly created key.
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