If you mean the shortcut icons on the desktop..easy. If you mean in My Computer..No.
On the desktop, hightlight the icon, go to Properties .. Shortcut .. Change Icon.
With the Cd-Rom, DVD and CD-Writer, you need to have a disc in the drive to be able to change the icon.
As for the C: or any HDD icon, do it exactly the same way.
You can download icons from the net and use them instead of the ones supplied with XP.