If you want to get fancy, get a copy of the free icofx icon editor at http://icofx.ro/index.html
It allows you to extract icons from exe files, turn images not ico
files, and even build your own library like the shel32.dll. It builds
an .icl file, and it does group them into a single file for compact
storage. You can then point to your .icl file just like a .dll file.
I always used to store them as single files in a folder too.
The program is free and has a pretty good user interface.
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