Here are a few different ways to easily customize Windows Icons:
First download your new icons and unzip the zip file with with a unzipping utility like WinZip. Now you will have a folder containing files with the extensions .ico (icon files) or .icl (icon libraries).
To install your icons you have two choices:
1.Customize only the four main desktop icons by going Start Menu>Settings>Control Panel>Display and then clicking the Appearance tab.
2. Download a program that will allow you to customize all of your Windows icons. Some of the most popular programs include:
Icon Packager
E-Icons
Microangelo On Display
Thats it. Good luck!