First you have to save the icon of your choice from this page. Then follow these instructions from America Online Instant Messenger (AOL IM):
1 - Select the People menu on the Buddy List window.
2 - Click Select Buddy Icon.
3 Click the Buddy Icon tab.
To select a buddy icon for yourself, click "My Buddy Icon". To select an icon for your buddy, click your buddy’s screen name. To choose an icon to be used for all buddies within a group, select the group name, instead of a buddy’s name.
4 - Choose "Browse PC" to go to the location of the image file, and select the image that you want to use for your buddy.
5 - Click OK.
The service sends your icon to your buddy during your instant message session after each person sends several messages back and forth.