Assuming you both have windows/IE, then just navigate to the page, then File -> Send -> Shortcut to desktop. Send that file, it should work for windows (Ive just tested from saving with an XP machine ...
You can change nearly any desktop icon on both Mac and PC. To change desktop icons on a Mac, open the "Get Info" menu and paste in the picture you want to use. On a PC you'll need to make a .ICO file, ...
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