Choose the entry '*.EXE; *.DLL; *.ICL' in the selection-box (underneath the filename box). Go to the directory where the EXE, DLL or ICL is located and click on its filename. All icons in this EXE, DLL or ICL file will be displayed on the right side. Just click on the one you want.
If you now select one ore more icons, you can extract them to single files with the fourth button on the lower left side (Extract Icons). The appearing dialog works the same way as the Extract-Dialog from the resource editor.