Program not found

I am wanting to change some file folder icons within "My
Documents". I right click the file, and then
select "Change icon". At that point I get a dialog box
entitled "Program not found". It goes on to read "Cannot
find CHANGEICON.EXE", and privides option to "Locate".
This "Locate" option can't find it nor does "Search for
files and folders" from the start menu. Is this an
original Windows ME program that has been corrupted.. or
perhaps a leftover remnant from some other program
(installed by me and since deleted)..or is something else
causing this message? How can I my ability to change a
file folder icon? Thanks for any help, Bee