Hi Nasty and welcome to crystalxp.
Since you are new,therefore do read New to CrystalXp thread.It will really help you a lot.
As far as your question is concerned, then first you need to convert your downloaded icons into .ico format,this is because most of the icons on this site (and on many other sites) are uploaded in .PNG format and windows can not apply icons in that format.To do so,you need AveIconfinder or Png2ico.After converting the PNG's into .ico format you need a program to apply the icons on your windows.There are many programs available on the net.But I will suggest you to use IconTweaker.And if you have anyother problem,then ask in Software Discussions section.