This is a quote from here - http://www.microsoft.com/windowsxp/using/setup/learnmore/sawyer_03june30.mspx
"To customize a folder icon
1.
Right-click the folder, and then click Properties.
2.
On the Customize tab, click Change icon.
3.
In the Change Icon dialog box, click Browse, navigate to the new icon you want to use, select it, and then click Open.
4.
Click OK, and then click OK again to apply the change."
Look here for the built in icons - C:\WINDOWS\system32\SHELL32.dll
There is no customise tab in my pictures because it is a windows File Folder and therefore windows doesnt like it to be changed however i know that there is a way i just cant remember it...