To get the LotR icon working is quite simple :

Step 1 : select the SS icon and use the right-click to create a shortcut (either on desktop or whereever you deem it handy...)

Step 2 : Right-click on the shortcut thus created and select "Properties"

Step 3 : Select the "Change Icon" tab and browse to the folder where you extracted the LotR.zip which should include the LotR icon. Select it.

Step 4 : Now the LotR icon should let you start the game and it looks much cooler...