This process was covered for Tiger in this hint, but things have changed in Leopard; it's now a bit easier:
Paste your icon (in the Get Info window) onto a USB thumb drive formatted as FAT32. The name of the drive doesn't matter.
Launch Windows through Boot Camp, Parallels Desktop, or VMware Fusion.
Open the thumb drive in Windows.
Select Folder Options? from the Tools menu, and set it to show invisible files.
Copy the two files .VolumeIcon.icns and ._[cr]File, where [cr] is a carriage return, to the NTFS drive.
That's it! The icon will appear nicely in Leopard.