Had the same problem after moving my steam program files and game data to my D drive (so I could share with win 7 and vista)
The existing icons can be brought back to life by simply copying the folder
D:\Program Files\Steam\steam\games
to
C:\Program Files\Steam\steam\games
On my XP installation that was the folder that the icons by default were pointing to.
after I copied the steam files to D: it was the only thing that did not get sorted apart from the steam icon that needed the drive letter changing too.
(BTW: It won’t be taking up loads of space as it only contains game icons for steam)
Hope that helps someone, as I was not fancying manually re-doing all my games icons 