Icons downloaded should appear in Finder as pictures, click on it, copy and paste it to the item you want to use the icon on. To do that, go to the item you want to use the icon on, right click, then "Get Info", a info window will appear with the icon on the top portion. Click on the icon and paste.

To return to the original icon, again "Get Info", click on the icon and press Backspace.

Ps: Copy's shortcut "Cmd-C", Paste's Shortcut "Cmd-V"