If the change icon option isn't there for you and you don't know what to do, you have to add a shortcut to desktop manually. Right-click Oblivion Remastered in Steam, manage, browse local files, oblivionremastered, binaries, win64, right-click OblivionRemastered-Win64-Shipping, send to, desktop (add shortcut), and change icon from there.
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Replacement Icon for Mod Organizer 2