All the above are great sites to find icons to change to, but if you want to know actually how to change the icons, do the following:
Select the file for which you want to change the icon and press Cmd-I to bring up the info window.
Do the same for the file which has the icon you want to change to.
Select the icon at the top of the info window that you want to copy from.
Hit Cmd-C to copy
Select the icon at the top of the info window you want to copy to.
Hit Cmd-V to paste.
Voila - icon changed.
Edit: Didn't read the above posts closely enough - CandyBar is also a good tool as the others have said, but my advice will still work in most cases.