You would need to be logged on as Administrator to change the icon.

FWIW, the Word 2010 WinWord.exe file is usually located in:
C:\Program Files\Microsoft Office
or:
C:\Program Files\Microsoft Office\Office14

On a 64-bit Office installation (which Microsoft generally recommends not using), 'C:\Program Files' might be named 'C:\Program Files(x64)'

__________________
Cheers,
Paul Edstein
[Fmr MS MVP - Word]