Step 1: Go to 'Desktop' (Ctrl + D) -> Right click -> Properties
Step 2: Move to 'Desktop' tab -> Customize desktop -> 'General' tab -> select the item which you want to change and click change icon
Step 3: Select ur favourite icon (either from system icons or from ur downloaded set).
Step 4 :Click 'Ok '.
The changes can also been seen while toggling between windows (alt +tab)
To restore back click the corresponding icon -> click restore default (in 'General' tab)