When you see an icon you like, right click on it and choose "Save Image As..." Don't forget where you saved it.
In AIM, you can click on the buddy icon in any IM window to be taken to the Buddy Icon screen, or you can go to "File", then "My Options", then to the "Buddy Icon" tab.
You can choose a buddy or set your own icon by clicking on "Browse PC..." Just find the image you saved earlier.
Why can't I just click on the icon like I can on other sites?
Because it would be a lot more painful for us to maintain this site if we had to create links like that for every single icon we made. At last count we have over 300, and this site is not automated. Besides, I personally prefer to have a hard copy of icons so I can always find them.