Changing the image on the Windows XP Start button

"Download Resource Hacker
Locate explorer.exe in C:\WINDOWS. Copy the file and name it explorer1.exe.
Run Resource Hacker. Select File, then Open, and select C:\WINDOWS\explorer1.exe.
Collapse the String Table folder and expand the Bitmap folder, then select folder 142 and right-click on 1033. Select “Replace Resource“, then click on “Open file with new bitmap“. Select a Bitmap picture (.bmp extension) with a size of 25 pixels by 20 pixels. Click the Replace button. if you would like to make a bitmap image with transparency, you will need an advanced icon making program such as Axialis IconWorkshop.
Select File, then Save.
Exit Resource Hacker and click on the start button and select “Run…“. Type in “regedit” without quotes.
Navigate to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon.
Double click on the Shell entry and input “Explorer1.exe” without quotes in “Value data“.
Restart Windows.

Source

Edit: IcoFX might do the job as well:

Import / export images (transparency
also) from bmp, jpg, gif, png, jp2"