In Linux with 'Gnome Desktop', the Desktop entry ( Icon ) is a text file,
The most easy way of changing the "Icon" is to 'right click',
select Properties, and then click the Icon image.
In a terminal : gedit <entry>(.desktop) , and then edit the line : Icon=<image>
In KDE 4, the file can be a link. Probably easier to create a new Icon,
than finding a way to do the editing.
Other 'Window Managers' ( Desktops ) : the entry will most often be a hidden