Do you mean the Computer icon in the toolbar? If so, it's a little more tricky than changing an icon on the desktop (as correctly described by Gordy). Probably the easiest way to do this is with
CandyBar from The Iconfactory, which will let you do this and a whole bunch of other icons besides it is shareware although there is a trial period during which you can change your icons to your hearts content.
🙂