It's likely to be a Permissions issue. The HD belongs to the System and therefore you need to become an owner but only temporarily, until the icon is looking how you want, that is. Then you'll need to return the Permissions to default again.
Click on the HD icon and then bring up the Get Info window and look to the bottom and you will probably see that you have "Read Only" access. This is why the icon wouldn't change.
Click on the "Details:" arrow and change the "Owner" to your User name with Read & Write Access. There should be a locked padlock to the right of the Owner tab so you'll need the Admin password/username to unlock this. Click on the Padlock to bring up the text box.
When you have the icon changed, just set the Permissions back how you found them and click the lock, to lock it of course.