Click on the icon you wish to use. This will open the icon in a new browser window. Right click on your desired IM icon. Select "Save Image As" and save the icon to your desktop:

AOL Instant Messenger (AIM 6)

1. Click on the Edit menu and choose "Settings."
2. Choose "Expressions" from the menu.
3. Click "Browse..." and select the icon you've just saved to your desktop. Click "Save."

Windows Live Messenger (v8.1)

1. Click the display picture located on the top of your contact list.
2. Click "Change your display picture."
3. Click "Browse..." and select the icon you've just saved to your desktop. Click "OK."

Yahoo! Messenger (v8.6)

1. Click on the Messenger menu and choose "My Display Image."
2. Select "Share my picture".
3. Click "Select" and choose the icon you've just saved to your desktop.
4. Click "OK."