You should install Internet Explorer 4 or later for a proper diplay of the IconTweaker HTML Help. The Desktop Update of Internet Explorer 4/4.01 (Shell version 4.71/4.72) is required to change individual folder or drive icons (Internet Explorer 5 and later do not install it).
Internet Explorer 4 and 5 are no longer available for download at the Microsoft site, so you will have to find these applications somewhere else.
In order to change individual drive icons, you should install Service Pack 1 or later.
You can get the latest Windows XP Service Pack at http://www.microsoft.com/WindowsXP/.