Unfortunately, the only way to format your iPod for Windows is through the iPod software running on a Windows PC...
About the drive icon, well, as iSheep said, it'll have the default external disk icon. But I changed the icon, and it keeps it, means when I eject the iPod and plug it back in later, it keeps showing the icon I gave it.
I didn't use any special software or hack for that, just simply changed the icon of my iPod when it was connected to the Mac, and that's it.
Another thing concerning the Win formatted iPod is that if it's name has more than 10 letters, on the Mac only the first 10 are displayed...and always in ugly capitals