There are loads of sites out there from where icons can be downloaded. The one I mostly use is
Icon Archive - Search 494,890 free icons, desktop icons, download icons, social icons, xp icons, vista icons which has literally thousands of free icons.
I download the ones I like the look of to a folder I've made in my 'Pictures' folder and called (obviously!) 'icons' and I can apply them to, for example items on my 'Favourites' bar in IE by using the method detailed by SD.