Hi Rick,
Your request is not too uncommon. Common enough that I'm considering a brief instruction page on the site with screen grabs from relevant harmony software pages.
The new site beta is up now, so to select icons simply check the ones you want and then click the 'Zip Icons' button. You will then be taken to your icon cart where you can review all your selections before they are zipped and downloaded to your computer.
After you unzip the icons to a folder/directory on your hard drive, open the Harmony software - 'Watch TV' activity - Settings - Setup Favorite Channels - Select Image... - Browse. Now find the particular icon file on your hard drive and the rest should be self-explanatory. Let me know if you need additional guidance and I'll be happy to elaborate.
Good luck and have fun playing with your new remote.
,R