There's another thing you can try -

Open up your folder, click Tools >> Folder Options. In this panel, open up the "File Types" tab, and scroll down to JPEG, click Advanced, then click Change Icon.

Now, you have to be rather careful here since you'll be going through some important system files. Click Browse and then browse through to this folder - C:\WINDOWS\System32

Once you're in that folder, scroll to the right till you find the file "shimgvw.dll". Select this file, and click "Open". Select your icon from the little list there, and click OK. Repeat the entire process for JPG files (since you only did JPEG), and GIF files too.

Hope this helps