This works for KDE 3.x:

On your keyboard press ALT+F2 and then type kcontrol into the input
field, then, press [ENTER].

Now you have started the KDE Control Center, and from here you'll be able to install icon themes. On the left bar select : Appearance & Themes->Icons.

Here you can choose between installed themes and install new ones.

Note: Many people make the mistake of unpacking packages, this is wrong, the icon installer expect to open a compressed package files that usually have extensions like: *.tar.gz , *.tgz, *.tar.bz2

To install a new theme click on "Install New Theme" and then select the icon theme package.

Once it's installed, you'll be able to select the new theme from the list, isn't it easy?