Here's the process:
1. Create a shortcut for the application. You can click-and-drag the application file while holding both [Control] and [Shift] to easily create a shortcut.
2. Once you create a shortcut to the application, simply right-click on the shortcut, then select "Properties".
3. You should navigate the Properties window so that "Shortcut" is the section highlighted.
4. You can then click on "Change Icon..." to change it's icon.
5. From there, you can use the "Browse..." button to go to the icon file you want.
6. After selecting the icon file, click "OK", then click "Apply".
7. The icon for the shortcut should change. If it does not, refresh the folder.
Hopefully this will help you out!