You can now use custom icons for the locations. You just need to upload the image files via FTP to:
yoursite.com/wp-content/plugins/wp-map-markers/markers
I suggest you use icons from this website:
http://mapicons.nicolasmollet.com/
You can also remove any icons you don't use from that folder.
You'll need to place an attriuution link on your website if you use those icons.