Well this is just weird. I use JSGME with both SH3 and SH4. That means two instances of JGSME, one in each game's folder.
Because I recently replaced Windows XP with Windows 7, I made new shortcuts to both JSGME instances on my Windows 7 desktop. The one that resides with SH3 is fine. The one that resides with SH4 doesn't show an icon - only the generic "missing icon" picture, like the one in the middle here:

(Note that I do NOT have JSGME pinned to the taskbar, but this was the first example of the "missing icon" symbol I found online.)
The weird thing is that if I click on the JSGME shortcut properties, it shows the correct icon. Likewise, if I browse to the SH4 install folder in Explorer, JSGME.exe has the correct icon.
What's going on here?
eta:
Both JSGME installs are version 2.6.0.157.