Currently the Sublime Text installer doesn't add an icon to the 'Open with Sublime Text' context menu that appears when right-clicking a file. I've only recently switched over to Sublime from Notepad++ which does have the icon and it's just a nice thing to have because it allows you to spot it in the menu faster.
In order to add the icon we'll need to play around in the registry a bit. I wouldn't recommend proceeding if you aren't confident editing the registry as you can totally screw up your computer if you change the wrong thing. This tutorial was made using Windows 8 but I expect the process is very similar if not identical in Windows Vista and Windows 7.
Here are the steps to add the icon:
Open the registry by hitting Start and typing regedit.
Hit Ctrl+F to open the find dialog and search for 'open with sublime text'.
You are looking for a key (folder icon) with the name 'Open with Sublime Text' within
Computer\HKEY_CLASSES_ROOT, you can see where you are by looking at the status bar in the bottom-left of the window. Hit F3 to find the next item matching the search. Mine was located inComputer\HKEY_CLASSES_ROOT\*\shell\.Right-click on the key and select New > String Value.
Name the new string value 'Icon', then double-click on it and enter the path of your Sublime Text executable.
Close regedit and you should now see the icon in your context menu!