Depends on your version of Windows, actually, but it's found under the Desktop Icons settings in Control Panel (In Vista and 7, that would be Control Panel, Appearance and Personalization > Personalization > Change desktop icons).
Icons - 2006 Lollapalooza 4-11 was released on: USA: 4 September 2006
Icons - 2002 Tim Schafer 4-4 was released on: USA: 28 April 2005
Icons - 2002 NES 4-9 was released on: USA: 1 December 2005
Icons - 2002 Ralph Baer 4-6 was released on: USA: 9 June 2005
Icons - 2002 Star Wars 4-5 was released on: USA: 12 May 2005
Icons - 2002 King Kong 4-11 was released on: USA: 12 December 2005
Icons - 2002 George A- Romero 4-8 was released on: USA: 31 October 2005
Icons - 2002 Frank Miller 4-3 was released on: USA: 31 March 2005
Icons - 2002 Gran Turismo 4-1 was released on: USA: 3 February 2005
Icons - 2002 Splinter Cell 4-2 was released on: USA: 3 March 2005
Hollywood Icons and Innovators - 2011 1-4 was released on: USA: 18 December 2011