To select your icon, right click on the icon you want and go to "save as" and save it under whatever name you'd like. To make that image your icon, you must go to the "buddy icon" section of your A.I.M. menu, select "browse" and then click on the name your icon is saved under.
[Note: These icons are for A.I.M. users ONLY. There are no buddy icons in AOL]