Windows XP;
Start with a shortcut you want to change the icon of.
Right-click the icon, and select "properties" from the drop-down menu.
Look for a "Change Icon" button on the dialog window that just opened.
Now it should be waiting for you to select a file.  
Hit "Browse" and go to the folder you have the ico or icl file stored.
If you are using the ico files, just select the one you want from this window, and you're done.
If you are using the icl file...
Use the "File of Type" drop-down menu to select "All Files"
The icl file should now be viewable.  Select it.
Now select the icon you want from the library.