Iconpackager works great, if you don't mind the fact that it wants both your Soul and your First Born. Other than that it's fine.
_______________ "To announce that there must be no criticism of the president, or that we are to stand by the president right or wrong, is not only unpatriotic and servile, but is morally treasonable to the American public." ---Theodore Roosevelt
Iconphile is the best for changing lots of icons at once(such as all the desktop icons, filetypes, etc.) Resource Hacker is the best for changing an individual icon, such as a program's icon.
style xp has the ability to change icons? Shiz, that what you get when you run a version that knew trex's dog i suppose. :P that aside, icon packager = my cup of tea