Peter Jason wrote:
Win10 latest.

I notice desktop shortcut-icons are stored in..

%SystemRoot%\System32\SHELL32.dll

How are other custom icons (eg from Axialis) to be stored there?

In general, you can't edit system files. They're signed
to detect tampering.

Programs can store their own private resources. When you build
a project in Visual Studio, that would give an opportunity to
add an icon resource. If the program wasn't signed, you may
be able to edit it, with tools like this.

http://www.restuner.com/

If on the other hand, you "just wanted to look" at the
structure, 7ZIP can open EXE files and show the structure.
In this picture, I use GIMP photo editor to open the
top icon resource shown in the 7ZIP window. As expected,
it's an orange safety cone.

https://s7.postimg.org/me6qdd1zf/icons_in_VLC.gif

Paul