Without any software, you can do this. It also applies to DVDs and CDs.... First create an inf file using notepad. It should be like this(copy it) :
[autorun]
icon=NameofIcon.icon
Now save it as 'Autorun.inf'.
Put both files together in the required storge device. and re-insert it. or restart windows. If you want to do it for a DVD or CD, then while burning, add these files together.
Remember:
- The name and extension must be exact.It shouldn't be in 'txt' format.
- Autorun.inf file must NOT be kept in any folders. It should be in main Disk itself.