I did something very similar last year (new year's greeting cards on business card sized CDs). I didn't have custom icons for the PC side of things tho. The mac icon was easy, but I imagine you'd have to use some .ico files for the PC side. Never tried that myself.
On the flash side of things, I had a Mac app and a PC exe linked with some external support files (mp3s in swf files actually). I couldn't get the mac version to run automatically, but the PC side of things went along fine with an autorun.inf file.
<BLOCKQUOTE><font size="1"face="Geneva, Verdana, Arial">code:</font><HR><pre><font size=1 face=courier>
[autorun]
open=ClickHere.exe
icon=click.ico
</font>[/code]
I grabbed the icon part from another thread in here, so I'm not sure if it works. The autorun open bit should work in most Windows versions.