Yep you can do that. The way i do it is by using the regedit. But if u mess anything up doing this u cant hold me responsable. Ok this is how to do it:
Start > Run > regedit
Expand HKEY_CLASSES_ROOT
Navigate down to
phpfile > Default Icon
Where it says Default on the right double click it and type in the location of your icon.
There all done🙂
Hope it helps