I don't use XP but it should be similar to W2K where it's:
Open Windows Explorer, click
Tools, scroll to
Folder Options when there click the
FIle Types tab, scroll down and click
Advanced, first box should be
Change Icon, click that to see what options are available, if you don't like those offered, search for *.ico or *.icon files (or click the browse button) and enter the path to the icon you want.