Step 1: Step One - Write Your Autorun File.
label = "NAME"
icon = "icon.ico"
Replace the word NAME in the quotes with what you would like your thumbdrive to be labelled.
Save this file into your thumbdrive as autorun.inf making sure that it does not have the extention .txt at the end.
Step 2: Step Two - Find an Icon.
Save the image you find, naming it icon and into the root folder of your thumbdrive, which is the directory named, for example, F:/ and is what you go into when you double click the shortcut in My Computer.
Step 3: Step 3 - Convert the Image to an Icon
Step 4: You're Finished!
If this doesn't happen, run back through and ensure you have in your drive a file called autorun.inf and icon.ico. If it still doesn't work, ensure you have written in your code correctly. It should have your label as what you want to say, and the source for icon should be icon.ico