As I sometimes use Windows programmes for testing cross-compatibility of projects, I end up adding iconless WINE shortcuts to my launcher but there is an easy way to extract icons from EXE files! I normally just hop onto Google Image Search and find a nice .PNG with transparency but here’s a quicker method:
sudo apt-get install icoutils wrestool -x -t 14 source.exe > output.ico
The above should result in a multi-layered file but it’s quicker and easier to open this proprietary Microsoft Windows .ICO in GIMP, select which icon you’d like to use then export it as a non-proprietary .PNG file to retain transparency.
As they’re the sort of things I wouldn’t remember (or bother) to back-up, I’ve found it convenient to store all of my icons in a sub-directory of my Ubuntu One share so that they’re painlessly accessible on every computer or future installation.