How to change the icon of an exe ?

I wanna know how to change the icon of an executable. I found many solutions on the web, different type of applications that will do the job.
I am interested to know if there is a basic way to do this. A step by step method (without instaling extra apps) just by using the windows.
I have a small memory regarding the changing the icon of a autorun disk, using the autorun.ini file. Is there a similar way for my issues?
I am working on a MUGEN game and the app comes with the standard icon, I wanna change it.
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More about change icon
  1. point at the icon, right click, left click properties, click change icon.
    However, what you should avoid is installing free software in your computer, that claims that it will "help" you change your icons. Free software = bad idea.
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