Yes.
Open a terminal.
From the terminal, run this command:
open ~/Library/Parallels/[name of VM]/Windows\ Applications/[name of Quicken plus .app]/Contents/Resources/WinAppHelper.icns
(you may need the Xcode developer tools for that to work)
Icon Composer should open up. Paste a 128x128 transparency image (TIFF seems preferable to PNG) into the big square, and into each of the smaller squares. It will ask you about extracting alpha masks, say yes to that. Then from the menu, choose file->save.
The icon may not change immediately. Once it did for me, for several others, it seems to take up to several reboots. Some claim force-quitting finder will speed this up, I had no luck with it. It won't change at all though (probably) until you've started that icon on the dock. Don't worry, after a day or two at most, it will change.
The hard part is finding 128x128 alpha icons for windows apps. I've found one for ie6, made another for ie7... we oughtta start a repository of them somewhere. I'm fairly talented with Inkscape, I'd contribute. (I was thinking about making a cmd.exe icon, if anyone wanted it...)