Hi. I believe the problem is that you are in "Documents Library" view, rather than the actual "Folder Location"
- Right-click the folder you want to change the icon of
- Select "Open Folder Location"... it's just above "properties"
- Once you are in the "Folder Location", right-click the folder again that you want to change
- Select "Properties" at the bottom
- Select "Customize"... the far right tab
- the "Change Icon" button is at the bottom
[Note: For the changed icon to show up in the "Library" view also, you may need to close and re-open file explorer]
Hope this helps.