by icon's do you mean for the button images?
or for the mm icon's on the task bar or desktop to start the program with?
button images are kept in the skin mmip file and then inside the skins files the mmip file holds.
there are some icons in the the programs folder they are in the data file I think?
if you want to change the skin buttons you have to use the skin editing tool and redo the images.
if you never skinned something then follow the guides on mediamonkey's wiki site there are a few there.
until they change the skinning engine the guides will help you.