Following the ideas of
and
.
If you using a networked drive or removable drive, the local host stores the icon location, but the icon image (similar to a stack of PNGs) is stored on the host media. The same holds true for individual files, applications, etc... The exception to this rule are the default icons/bezels that are part of the OS. (Oh and locked media.) Some are easy to change , and others require some pay/shareware or access to
root to "permanently" change them. Edit system resources and change permissions at your own risk.
I have no idea why I added this last bit, but it here if you want to change look of your media icons.