Create a desktop shortcut, then right click and press "properties". Once that menu is open, press Change Icon, navigate to the file and double click on the icon you want. Press ok, press apply. then close it.
You're a Godsend. It's really strange how few decent icons there are for a game this popular. I've always found that weird. These are just right. Good work.
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Note: the .ico contains 6 sizes from 16*16px to 256*256px. There is no 512*512px like the preview images.