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.