That’s a simple question, but I think this article may be good for a beginner.
This is the way:

1. OK, in this case I want take a case to change icon form Skype shortcut.

2. First, right click its icon, and then click Properties menu.

3. Click Shortcut tab in its property page and then click Change Icon button.

4. Choose the listed icons, or you can browse to your own icon, click OK if you’ve chose icon.

5. Now, you icon has changed and click OK button to close property page.

6. Look your result.

7. At step 4, I said you can browse your own icon, to do it, click Browse button in Change Icon dialog and then pointing into your icon collection folder.

8. Then you’ll bring back to Change Icon page, click OK button.

9. Click OK to close Property page.

10. Now, your icon on desktop has changed.

(article no:0041)