Use the game's icon in Android and Windows shortcuts
See #10841.
Games have icons, and custom can be set with EXTRA_SHORTCUT_ICON/setIcon.
EDIT by hrydgard: And on Windows, you can use psl->SetIconLocation(..) - but you can't embed the icon in the .link as far as I know, so we need to store generated .ico files in our directory.
The only trick is that the icon isn't quite the right aspect ratio, although the Vita has the same problem and its UI simply centers the icon and hopes for the best. Maybe that's fine?
-[Unknown]
Perhaps find a way to implement a shortcut creation feature for Windows too? That would be neat so people don't have to fully rely on custom icons.

@AkiraJkr #19138 implements this for Windows, finally :)
#19139 implements it for Android, but with the limitation that PPSSPP needs to be running in the background while you create the widget (otherwise you'll get the PPSSPP icon like before). I'll try to lift that restriction in the future, but this is enough progress for 1.18.