Harruzame, you can just download them as an icon and use a program called Icon Changer (google etc.) to embed it into the exe if you don't want to repatch your exe.
Alternatively, you can just download the icon rather than the exe and place them in your ff7 directory and then on the desktop shortcuts > right click > properties > change icon > browse ff7directory > select the icon >
> Profit
I prefer the first method just so it's not just the shortcut.
I also use ff7music so I have to select my exe for the shortcut icon.