One of the first things that I noticed after installing VMware Fusion was that the Windows icons look awful compared too the native Mac OS X ones..
But there is a way to fix this.
The solution is to download better looking icons and replace the default ones.
These will be located inside the .vmwarevm file of the relevant virtual machine. Typically, the .vmwarevm file is located in: ~/Documents/Virtual Machines. For those with a Bootcamp partition, you can find the .vmwarevm file in: ~/Library/Application Support/VMWare Fusion/Virtual Machines/Boot Camp/Boot Camp partition.vmwarevm.
Ctrl-click (right-click) this file and select “Show Package Contents.” Go to the Applications folder and you should see a list of Windows applications.
Select the application which icon you would like to replace and choose Get Info (Command-i or File » Get Info). The window that pops up should have an icon in the top left; this is the icon that you will replace.
Here are some alternative icons: