I figured out a simple way to change the icon Windows uses for Yahoo! Widgets.
Look at the screenshot.
1: Open up My Computer > Tools > Folder Options > File Type > Under "Registered file types:", look for "WIDGET".
2: Click on it > Advanced > Change the name from "Yahoo! Widget" to "Dashboard Widget" (Without quotes!)
3: Click "Change Icon" and use the one in attached in this thread.
4: The icon was NOT created by me, it was created by foXdiee
You can use this methood to change other icons, too.