1- Yes, you can change the menu easliy, if you know a bit of scripting. I know how, but I need to check it again because I forgot.
2-You can change the icon, but you need a third-party icon changing software for that. There are plenty of free programs you can download. Just Google "icon change software".
3-I don't think that this is possible. It is possible to do this
after the menu and before your first level.
I'm not exactly a scripting guru, but you'd better wait until Hybrid or Plystire or Airlside replies...
A starting Games Designer. Need levels, characters and anything drawn and designed? Let me know...