Yep, I just looked at the icon with the generated Self-extractor. It's the default .NET application icon, pretty nondescript.
I just made a change so that the SFX gets a "zip file" icon by default, and also lets you set it to an arbitrary icon value.
I will make available a version with that change, for you to try, shortly.
you can include images in your posts - you have to edit the HTML of your post to do it. And, the images have to be hosted "somewhere else" . Try tinypic.com.
I use a screenshot tool called cropper (available free on codeplex) that snaps a screen image, saves it, and then uploads it to tinypic.com. It's handy for this kind of thing.
here's an image I snapped while composing this reply: