How do I change to icons in here?
If you want to add emblems (like the document, picture frames) on top of the default folder icon, see this post
If you want to change the underlying icon itself, then there are 2 options
Option #1 - Change the icon theme
Option #2 - Customize icon for a specific folder
The icons from various themes installed in your PC are typically stored inside
Even you can have an image of your own choice if you have a .svg file with you. Just open the folder and then right click in the folder. Choose properties over there. And then click on the folder icon. After which you can browse for a .svg file from your Ubuntu machine. You can download .svg files for free it's so easy. Just google for it. Even some softwares available in the Ubuntu Software Center can create a .svg file. (Inkspace).