Just make the shortcut icon in the usual way, and then rename the icon. Open the
Properties box and click on Change Icon. You'll see some blank spaces amongst the
other icons. If you click on the blank space you'll see that it is a clear icon.
Click on Apply, etc. There you have it.
To rename the Recycle Bin there is a fix at Kelly's Korner ...
http://www.kellys-korner-xp.com/xp_tweaks.htm