You can change many of the common Windows icons.

Start Regedit

Go to HKEY_LOCAL_MACHINE \ SOFTWARE \ Microsoft \ Windows \ CurrentVersion \ explorer \ Shell Icons

The default icons are numbered in the right panel from 0-40

Double click on the number of the particular icon you want to change. See the chart below.

Enter the name of the icon file you want to use followed by the number of the icon in that file.
Note: The numbering starts with zero.

If you use a single .ICO file, it should be followed by a 0.

e.g. - filename.dll,4 - This would actually be the 5th icon since it starts with 0.

Make sure you delete the hidden file C:\WINDOWS\SHELLICONCACHE

0-13 Are the Drive and Application Icons
0 - To change the Unknown Application Icon
2 - To change the Default Application Icon
3 - To change the Closed Folder Icon
4 - To change the Open Folder Icon
5 - To change the 5 1/4" Floppy Icon
6 - To change the 3 1/2" Floppy Icon
7 - To change the Removable Disk Icon
8 - To change the Hard Drive Icon
9 - To change the Network Drive Online Icon
10 - To change the Network Drive Offline Icon
11 - To change the CD Drive Icon
12 - To change the Ramdrive Icon
13 - To change the Entire Network Icon

19-27 Are the Start Menu Icons
19 - To change the Programs Icon
20 - To change the Documents Icon
21 - To change the Settings Icon
22 - To change the Find Icon
23 - To change the Help Icon
24 - To change the Run Icon
27 - To change the Shutdown Icon

Other Icons
33 - To change the DUN Folder Icon
34 - To change the Desktop Icon
35 - To change the Control Panel Icon
37 - To change the Printer Folder Icon
40 - To change the Audio CD Icon
43 - To change the Favorites Icon
44 - To change the Logoff Icon