There is a a program on Aminet which lets you change icons on CDs. But I cannot remember the name.
(Of course it does not write to the CD, but caches changes on harddisk.)
Edit: doesn't look familiar, but from the description this is the program:
http://aminet.net/package/util/wb/VirtualIconsThere also was a commercial software product called CD-Write which could do the same for all files on a CD.