Unablr to change icons on desktop

I cannot change my desktop icons that are shortcuts for web pages (example)
amazon, MySpace, Google etc. Icons for programs installed are fine but any
that I send to my desktop as a shortcut show up as a white folder with the
blue e and will not let me change them by right clicking desktop, properties,
change icon. They will flash as if trying to but don't. What am I missing
here or doing wrong. My PC at work is fine and some icons use their company
logo as default, like Google, but not my laptop here at home. Any help would
be greatly appreciated.
thank you