Some of the icons in 10.6 are locked from changing via permissions. If you cmmd-i a file and change the group everyone to read/write it will apply the icon. You can then change it back.
Go to System Preferences --> Users & Groups and turn off the Guest account.
I use CandyBar to change Mac icons however the applications Sparrow, iPhoto, and iMovie have a lock and I can't seem to change it. Anyone know how?
Do you happen to have bought those apps from the App Store?
Yes, Sparrow is from the App Store. iPhoto and iMovie as you already know came pre-installed.
Candybar does't support changing App store icons. Although you can do it manually.
I use LiteIcon and no problem.