GTK+ icon theme is not properly set

This usually means you don't have an XSETTINGS manager running.  Desktop environment like GNOME or XFCE automatically execute their XSETTING managers like gnome-settings-daemon or xfce-mcs-manager.

If you don't use these desktop environments, you have two choices:
1. run an XSETTINGS manager, or
2. simply specify an icon theme in ~/.gtkrc-2.0.
For example to use the Tango icon theme add a line:
gtk-icon-theme-name="Tango" in your ~/.gtkrc-2.0. (create it if no such file)

NOTICE: The icon theme you choose should be compatible with GNOME, or the file icons cannot be displayed correctly.  Due to the differences in icon naming of GNOME and KDE, KDE themes cannot be used.  Currently there is no standard for this, but it will be solved by freedesktop.org in the future.