As far as I know, the icons are stored with the file/folder/drive. For example, I have a custom icon for my ipod, and when I plug it into my mates computer it appears with the custom icon, therefore, it must be stored with the ipod.
To get an icon from a file or drive etc., command click on it, then select 'get info' click on the top icon on the 'get info' window, you can then copy and paste the icon to wherever you want it (another file or to a photoshop page etc.).
Hope this helps