file windows\system32\imageres.dll

When I wish to change an icon on the desktop, I usually go to PROPERTIES,
then Change Icon and look into the proposed choice ,i.e. the file
windows\system32\imageres.dll

I have noticed the possibility of using alphabetic icons , of which only A's are
reported (A and a, in red). Logic tells me that those A's are an example and I
could choose other letters. Is it true? How could I define an icon , say "M" ?
As always, I thank you very much. Paolo.

 

No, you can only choose Icons (resources) in the file. These are not automatically generated.

Search the internet for other icons or create your own.

IcoFx could help if you wish to create your own, but many graphic programs can create ICO files or DLL's containing Icon Resources.