During the architecting of Share.Net (the good old days when I programmed in C#) I remember that I found a great library for .Net that extracted file icons via SHGetFileInfo that also did some smart caching. Once fooling the ListBox or ComboBox that you provided a ImageList via helper methods you could use it to extract file icons and associate them immediately with you control. I looked a bit but it doesn't seems that there is an alternative managed API for doing this yet so I guess this is still the best way around this issue.
One problem with it I think is that you renounce the use of custom icons but I might be mistaken.
PS. The last revision of the article was 2003-Mar-04. This guy did some great stuff but his site is not very active any more. Who knows why...

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