You should log into aim, then go to edit -- expressions , and it will take you to a web page. There you can change your buddy icon, which is what you want, you sound, you wallpaper, and you emoticons. Just click change on anyone of those and viola!
Another way to do it with a picture you already have is go edit -- settings -- and then you will see the expressions tab on you left. Click that,, then you should see a white box on the top right that says browse or clear,, click browse and click on the picture you want.