Well, it will be the hell... Almost small poem.
No movie, but graphic tutorial.
Step 1. Download this program (should pay ~ 500 euros for it). Joke, it's free.
Step 2. Open relevant progs or games in it. You should see something like this. Select Icon Group, then MAINICON. Like I did:
Step 3. Do this step, please.
Step 4. Select "open file with icon", select an .ico file -> press ok -> press replace.
Step 5. Everything should be o'kay.
Step 6 (the last step to simple cracking ). Save it.
P.S. I can't still replace the icon inside window during gaming, but working under investigation. Thank you for your attention!