PC with Internet Explorer:
Click on the icon you want above.
Click 'OK'

PC with Netscape 6:
Select the icon you want above.
Right click once on the icon.
Select Save Picture As...
In AOL Instant Messenger, click on one of your buddy's icons, and it will take you to the Buddy Icon Preferences.
Scroll up to where it says My Buddy Icon and click.
Select Browse, find where you saved your icon and select it.

MAC with Internet Explorer:
Open AIM, and click on the image you want above.
The AIM Preferences window will appear.
Select Buddy Icons from the category options on the left.
Click on the Reveal Icons Folder button.
Click, hold and drag the icon you want into the Shared Buddy Icons folder.
Click OK on your preferences window, this will close the window.
Repeat the first three steps then select your new icon from the list underneath My Buddy Icon.

MAC with iChat:
Right Click on the Buddy Icon you want
Select 'Copy Image to Clipboard'
Open iChat and click on your Buddy Icon picture on the top right
Select 'Edit Picture'
Go to the 'Edit' menu and select 'Paste'
Sadly, iChat Buddy Icons do not animate