They don't--or at least they didn't used to. I haven't tried it on windows mobile 6. I use SBSH iLauncher to right click on an icon and then choose something from the /icons folder. I wonder if some of the aftermarket file explorers permit this sort of thing. Or some of the free launchers. Also, there is a beta product from JDH software (
JDH Software - Jedis de Halo) called, I believe IconXT that does what you want.
Sandra