Unzip the downloaded file, then create a file in your Windows folder called 'Icons' and place the .icl file in that folder. When you want to change an icon on the links bar on your IE browser, right-click on the icon and choose 'Properties' then 'Change Icon.' Type in the path of the icon file, like 'C:/Windows/Icons/Volkswagen.icl' and all the icons should show up on the screen. Pick the one you want and close all the windows. Ta-da! New icon... Sometimes it takes a few minutes for it to show up, so don't worry if its not there right away.
You can also change the icons on your desktop. Just right-click on the icon, choose 'Properties' and then 'Change Icon.' Then just follow the same directions as above.