Hi All,
As old as this post is, this problem is still rampant for a lot of folks.

Couple points, and here's the deal...
- proper datatype is String (REG_SZ)

- if you are using known good solutions and they fail, or
- if you are setting it the correct way and it reverts to a Dword datatype (REG_DWORD) and keeps failing, or
- if it just seems broken or wrong to begin with (when you look it up in the registry),
..., there is an explanation, and a solution, for this.

It could be because of a third party element that is rewriting the registry key "Max Cached Icons"
- Widcom Broadcom BlueTooth Drivers have been known to do this.
They were informed about it, fixed it, and some of their drivers have been known to have been fixed...
- but I have the latest drivers and they are evidently 'broken' again...

No matter what the deal may be that is "undoing" this for you, I finally figured a workaround.
I posted about it here:
http://www.experts-exchange.com/articles/OS/Microsoft_Operating_Systems/IconCache-Max-Cached-Icons-DataType-Reverting-Incorrectly-from-STRING-to-DWORD-SOLUTION.html

...complete with proper credit where its due.

Its long because its detailed and thorough.
I hope its helpful to those who may find it.

Cheers,
TwoHawks