To change skype icon just right click on its desktop icon and go to property, and hit file location button. Now use Restorator 2007 to open that exe. You would find Skype icon in that exe, just replace that icon with your custom icon.
To change, My Document, My Pic and other folder icons you need to open imageres.dll in Restorator and change the icons in Restorator. After changing the icons you need to rebuild the iconcache, tutorial is already posted somewhere on this very forum, you need to search. I remember if you search on google you would find an application or a bat files as well to rebuild the iconcache. You can also delete the iconcache.db manually as well, iconcache.db is located @ "C:\Users\(User Name)\AppData\Local"