http://dmoz.org/Computers/Software/Operating_Systems/Linux/Distributions/Live_CD/
http://www.distrowatch.com/dwres.php?resource=cd

Open the KDE-Menu and start the Control Center
Click on "Look and Feel" and "Icons" 
Browse to the location of the new icon theme by clicking the small folder button 
Click on "Install New Theme" to add the new icons 
Click "Apply" 
Have fun! :-)