What do you mean by change "My Recent Documents"? If you want to stop it logging things there's several tweak programs that will turn it off. If you mean the icon I don't know cos I don't use it.
Download Microangelo. All I have is the trial version but it overrides the icon of ANY program you have on your PC. As for "My Recent Documents" and the "Control Panel", Microsoft made it so you can't change those on XP. Hope this helps.
to change my recent documents, make sure that in your folder options that "show hidden files and folders" is check. Then go to your documents and settings folder and the my recent documents folder should be there. Then if you have Microangelo, right click on the icon and click appearance and change it.