Directions: Right-click on the icon(s) you want and click "Save Picture As...".  Save the picture to your computer. 

To install the icon as your AIM buddy icon: Click "My AIM", "Edit Options", then "Edit Preferences...".  Then, click on "Buddy Icons", and "Browse PC...".  Locate the picture in the folder you saved it to, and click "Select".  That should do it!