ICAO location codes are used mainly on the Aeronautical Fixed Telecommunications Network (AFTN) and are assigned to geographical locations where there is a station forming part of the Aeronautical Fixed Service (AFS), this may not be an airport. For instance, the locator EESA is allocated to the European Space Operations Centre in Darmstadt, Germany.
The first letter of the ICAO code identifies the AFS routing area (E = Northern Europe, C = Canada, K = USA, etc). Where there is more than one country within a routing area, the second letter identifies the country (EG = Great Britain, ES = Sweden, EF = Finland, etc)
In these cases the third and fourth letters identify the geographical location, sometimes obvious and sometimes not (EGST = ElmSetT but EGKC = Bognor Regis ??).
In the UK, stations with a common third letter may be grouped into one identifiable geographical area (TF = Fairoaks, TI = Leavesden, TK = Oxford, TN = Reading). Stations with the third letter D, O, Q, U, V, W, X and Y are military (EGDL = RAF Lyneham, EGDY = RNAS Yeovilton, EGUH = Strike Command HQ, High Wycombe).
IATA codes on the other hand, are designed for the airlines and are more intuitive than ICAO codes. For example, you would not easily connect the ICAO code LFPG with Paris/Charles de Gaulle unless you used it reasonably frequently, the IATA code (CDG) is, however, a little more obvious.
The situation in the USA is a little difference, there being a direct connection between the IATA and ICAO codes. Here, for example, the IATA code for Dallas, Forth Worth is DFW and the ICAO code is KDFW. This is a fine system until you run out of letters - who would guess that the IATA code X14 referred to the airport at La Belle, Fl - ICAO code KX14. Mind you, who would care?
There are a number of websites that will give you a decode of ICAO locators, I'm not sure about IATA codes - anyone?