If you have shortcut to cmd.exe in start menu/programs folder and this shortcut has altered icon - cmd.exe will have this icon regardless how it was launched - with shortcut or without. Particularly after msysgit's install creates "Git Bash.lnk" with git's icon and thus altering taskbar icon of every 32-bit console window in the system.
I understand that this question isn't specific to msysgit, but it was the way I faced with it.
The details is in the blogpost linked below: http://sparethought.wordpress.com/2011/06/13/troubleshooting-git-bash-icon-replaced-standard-cmd-exes-one/
The question is - why Windows behaves that way? Is there any reason to behave like that?