Instructions courtesy of http://www.dotico.com/
(I think these instructions are for Windows 98 users. If you use 
Windows XP, scroll down)

To change the My Computer, My Documents or Recycle Bin icons:
1. Right click the desktop.
2. Choose Properties from the menu.
3. In the properties dialog, select the Effects or Plus! tab.
4. Select the icon you wish to change.
5. In the icon selection window, press the Browse button.
6. Use the file selection dialog to locate to the folder that contains the icons you 
downloaded.
7. Choose the ICO file you want to use as a replacement and press Open.
8. Press OK in the icon selection window and on the properties dialog.

You can also change the icon for a shortcut using these steps:
1. Right click the shortcut.
2. Choose Properties from the menu.
3. In the properties dialog, press the Change Icon button to open the icon selection
window.
4. In the icon selection window, press the Browse button.
5. Use the file selection dialog to locate to the folder that contains the icons 
you downloaded.
6. Choose the ICO file you want to use as a replacement and press Open.
7. Press OK in the icon selection window and on the properties dialog.

There are many other ways to change icons by editing the Registry. These techniques are
more complex and potentially dangerous to your system, but they do allow you to 
completely customize your computer. For more information, visit
http://www.virtualplastic.net/

Windows XP
You can change most icons in Windows XP (mainly shortcuts and folders):
1. Right click the icon you wish to change.
2. Choose Properties from the menu.
3. In the properties dialog, select either the Shortcut tab or the Customize tab
3. Press the Change Icon button to open the icon selection window.
4. In the icon selection window, press the Browse button.
5. Use the file selection dialog to locate to the folder that contains the icons
you downloaded.
6. Choose the ICO file you want to use as a replacement and press Open.
7. Press OK in the icon selection window and on the properties dialog.