(Note: this does not apply to icons in the whole system, just the shortcuts on your desktop. So if you are to look at the application in start, it will be the original icon)
Firstly you want to have the picture you want the icon to change to, you may already have one or you can simply download one from the internet. But to use the picture as a icon, it has to be a .ico file. There are many converters on the internet which can do the job of converting jpg, png, etc to ico.
Converter I use: http://icoconvert.com/
After you have the .ico file ready, follow these steps to change the icon!
1. Right click on the shortcut or folder icon you want to customize.
2. Click on 'Properties'.
3. Here it changes a bit, if your changing a Application icon, you want to go to the 'shortcut' tab, and at the bottom you will see a button that says 'change icon'.
If you are changing a Folder icon, you want to go to the 'Customise' tab, and there you'll see a button that says 'Change Icon' near the bottom.
4 Now simply click on 'Change Icon'. You should see a whole bunch of icons by Microsoft pop up, but you want your icon, so click 'browse' up top, locate your file and apply it.
(Note: You may have to reapply the icon due to bugs)
Hope this Helps!