Step one:
Right-click your icon, and click "Save picture as."

Step two:
Remember where you save it, and what the file name is! And do not remove the ".jpg" on the file name!

Step three:
Open Yahoo. Then IM somebody, or yourself. Click on your own icon.

Step four:
Click "select."

Step five:
Click "browse."

Step six:
Make sure you're in the right place. Click your icon and then "open."

YOU DID IT! =D