I believe that the only way to change the icon that is displayed on the OpenWith executable, is to change that icon inside that executable (or add one).
You can add an icon to its exe using Resource Hacker.
For details, see the article : Windows 7: Icons - Change Using Resource Hacker.
Placing the new icon as first will make it the default.
Another idea would be to assign different file-types to your scripts, for example .my1 for script1.my1 and .my2 for script2.my2, and give each file-type a different icon, as described in this article.
Define all file-types as executing "\path\interpreter.exe %1" where %1 stands for the script parameter.
That will give you a different icon per each script file-type, and you will not need at all the OpenWith dialog box - just double-click the script-file. The script-files will automatically be displayed in Explorer with their icons.
If the Windows file-types tool is unwieldy, you could use FileTypesMan.
You can also load such file-types directly into the registry with a .reg file.