To change an icon...
1. Select the icon you want to change your folder, app or file to.
2. Choose "Get Info" from the File Menu, or click command-I.
3. Click the icon in the upper left of the info window.
4. Choose "Copy" from the Edit menu (or type command-C).
5. Select your folder, app or file on the desktop and "Get Info" for it.
6. Click the icon in the upper left of the info window.
7. Select "Paste" (command-V) from the Edit Menu.
Two things to bear in mind if you change an icon for, say, an app then it won't change the Dock icon automatically. Just drag the icon out of the Dock and drag your changed icon in there instead. Also, there are a few icons dotted around that you can't change using this method the Finder or Trash icons, for example. You can change these by fiddling about with some files buried away in your hard drive, but a safer and easier option might be to take a look at an app like
CandyBar.