To change a drive's icon when you open My Computer

Create a file called AUTORUN.INF on the root of your hard drive
Enter the lines
[autorun]
ICON=Name of the ICON file

For the name of the icon file you can either specify the path and name (e.g. ICON=C:\WINDOWS\ICONS\MY_ICON.ICO) or
a specific icon in a library (e.g. ICON=ICONFILE.DLL,2)