First of all, to get to the place where you change the icon:
Right click 'Applications' menu on the taskbar -> select 'Edit Menus' -> find your menu item in the list -> click 'Properties' -> click the current icon
When you select
Browse...and go to the directory where your icons are located it doesn't show any files there. The key is to press
Openwhen you are in the directory where the files should be. A new window will open showing the files that can be used as icons.
"The image files must be one of the types: PNG, XPM, or SVG, and the extension must be ".png", ".xpm", or ".svg" (lower case)." Source: http://standards.freedesktop.org/icon-theme-spec/icon-theme-spec-0.6.html