Windows, all versions, has some built-in icons in a file but most all third-party software has their own usually embedded in the .exe/Executable file or in a .dll/Dynamic Link Library file or other support files. Such shortcuts that are created can have their icon changed if there's choices in the files mentioned when right-clicking the visible icon and Properties, Change icon. If a program doesn't include an icon the choice should default to the Windows choices but won't be a good fit to a particular program. You can extract icons using programs found by Search.
DuckDuckGo. Privacy, Simplified.
duckduckgo.com
You can also create your own.
DuckDuckGo. Privacy, Simplified.
duckduckgo.com
Be aware there usually is a pixels-size limit such as 160x160, etc.
If making icons for use be sure to store them in a folder and point to it when making the change. Some programs may create a file to store several icons.