An icon is a file with extension .ico or .icl. The icon itself is a small picture or symbol serving as a quick, intuitive representation of a software tool, function or a data file accessible on the system. In terms of GeneRally the icons can help you sorting your various GeneRally instillations and other folder related to GeneRally.
Here is a general explanation how to add a wanted icon to the folder of you choice.
For creation icons you are going to need a program that can handle icons. You can find various program on the net, just ask uncle google for help :)