1) Right-click or ctrl-click (for MAC users) on the icon and choose 'Save Picture As...'
2) Save the image to your computer desktop.
3) Log on to AIM
4) In your buddy list window menu, go to 'My AIM' > 'Edit Options' 'Edit Preferences...'
5) Click on 'Buddy Icons'
6) Click 'Browse Computer'
7) Navigate to where you saved the icon on your hard disk, pick it and click 'OK'