As a matter of fact there is . I just tried an old trick that used to work with Windows 98 and it works with XP too. Open up notepad and make a file called "autorun.inf" and put this information in it:
icon = any_folder_you_want\a_cool_icon.ico >>> or just:
icon = a_cool_icon.ico <<< just put the autorun.inf file and the icon in the root of the drive/partition.
I don't know why, but this wouldn't work with WinME or 2k. But it works on my XP machine.
autorun.inf has to be on the root of the drive, but you can put the icon anywhere. When you get those files copied to the drive, you'll need to reboot for XP to pick it up. I tried just logging out but it didn't work, need to cold boot.