No you don't thats the whole point of this icon pack!
I found
this via which I did myself for everything at once. If you prefer only individual follow DDub420's instruction as above.
That link is for windows 7 users (tested and used myself), should work in vista and xp probably. Still searching for it to work with 8.
edit: what you uploaded are png files you'll have to convert them into .icon files before you can use them
edit 2: all right since I already took the pain of converting all of them
here you go uploaded to my mediafire account. Made them all to multi size format in single file each enjoy
edit 3: might find
this useful for changing all folder icons at once