Changing your icons in XP:

For My Computer, My Documents, My Network Places, and Recycle Bin:
1. Right-Click anywhere on the Desktop and select "Properties".
2. Click the Desktop tab.
3. Click on Customize Desktop...
4. Click on the icon you wish to change and click Change Icon...
5. Find the icon you wish to use in the explorer, and click OK.
6. Repeat 4 & 5 until you've changed all of the icons you want to switch.
7. Click the Apply button.

For Shortcuts:
1. Right-Click on the shortcut whose icon you wish to change and select Properties.
2. Click Change Icon...
3. Find the icon you wish to use in the explorer, and click OK.
4. Click the Apply button.