Here's what you need to do (on Vista, but it appears this hasn't changed a bit
- Right click on whatever folder/shortcut/etc. you want to give an icon to, and choose "Properties".
- Go to the "Customize" tab.
- Click on the "Change Icon..." button that should be near the bottom of the window.
- Click "Browse..." in the dialog that pops-up.
- Go to the folder where you un-zipped the icons in the next dialog that pops up, and choose the one you wish to use.
- Click "Open" in that window, and "OK" in the others, of course.
There you go! If you ever want to get rid of it, just do steps 1 to 3, but then click on the "Restore Defaults" button. Ignore how "defaults" is plural, it doesn't change all of your customized folders/shortcuts/etc. you already have.