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Icons are links to programs on your desktop.  Though they are generally shortcuts they may also be actual files or folders.  Generally speaking, an icon is a small picture used to represent a file.  Let's go back to our previous example.

Desktop

In this image, the icons are My Computer, My Documents and Recycle Bin.  Icons sit "on" the desktop, but may also be shown within programs.  Here is an example of the sample pictures that come with Windows displayed as icons.

Sample pictures - Icons

Note that all the icons for every picture look the same.  That is because the icons for a JPG, the type of pictures these are, is the tiny picture of a sunset over water on a page.  It's not actually displaying any information from the files, just a picture representation of the type of file it is.  Here is the same area shown in the "thumbnail" view, which shows the actual images in smaller form.

Sample pictures - Thumbnails

You can see that this looks very different.  Each picture is unique.  In fact, this is what the pictures actually look like.  The icon doesn't necessarily show you anything from the file itself, it's usually just a small picture representation of the type of file.  This is not always the case, however.  Windows 7 displays a small version of the actual picture for the icon of pictures and programs can change their icon to be anything the programmer likes.  But the idea is the same.  An icon is a small picture representation of the file.