Icons are the little pictures used by Windows (and other operating systems) to represent folders and the like. Icons can also be used to represent webpages (look up--notice the little yellow apple next to my webpage's address? That's an icon too!).
If you've come looking for icons for LJ, I keep mine here.
Instructions for changing your computer's icons in Windows XP
Individual 16 x 16 Icons
Individual 32 x 32 Icons
Icon Sets