Creative Blue was referring to an icon theme which with all the distros can actually be quite tricky, depending on the theme.
This and the mouse cursors are popular because generally these are the only things you can really customise in Windows, where as us nixers are used to some more elaborate style of customising and forget some of the smaller simple things.

One thing I will say though, If you need to fix something in windows ... like say the registry because it has been rodgered by some nasty virus (digital or organic), its CLI to do it, and that is from Microsoft ... oh and no up arrow or TAB when your in the recovery console ... oh no no you need to type every single frigin letter. Sorry bloke, no TAB no up arrow .... that is so last century.