Cannot set a different desktop shortcut icon in IE 7

I have IE 7 installed on windows XP SP2. I have searched, but was unable to find a solution. I have a few shortcuts on my desktop to my favorite sites, like ebay or cnn. Problem is they all have the blue e logo with the whitebackground as the icon. I right click properties to change, and as soon as I change it to some one else it switches right back within a second. IDK what to do to get the icons to stay, and this is driving me insane

Any help would be appreciated

Thanks

BTW I am using large icons in XP, when I switch icons to regular size then everything works. How do I get it to work with large icons