Here is the instruction exclude from Gnome help file (I have no idea if you are using KDE).
7.4.4. To Change the Icon for a File or Folder
To change the icon that represents an individual file or folder, perform the following steps:
1. Select the file or folder that you want to change.
2. Choose File → Properties. A properties dialog is displayed.
3. On the Basic tabbed section, click on the Select Custom Icon button. A Select an icon dialog is displayed.
4. Use the Select an icon dialog to choose the icon to represent the file or folder.
5. Click Close to close the properties dialog.
To restore an icon from a custom icon to the default icon specified in the File Types and Programs preference tool, right-click on the icon then choose Remove Custom Icon. Alternatively, click on the Remove Custom Icon button on the Properties dialog.
To change the icon that represents a file type, use the File Types and Programs preference tool.
To locate the icons, look inside the folder: ~/.icons