First, you have to save the icons onto your computer. And then go to the user profile, at the profile menu select "manage userpics". And browse to the icon you want to use on your computer.

You should also credit the makers of the icons you use. For example, if you use my icons, you can add by_talulababy without the underscore.

Or you can go to http://www.livejournal.com/support/faqbrowse.bml?faqcat=userpics for more details.

Hope this help. :D