A lot of people say you need to use special utilities, Safe Mode etc for doing this, but it can in fact be done very easily:
1. Make or obtain the customised version of the Windows file(s) that you want to replace, and place them eg on your desktop.
2. Look for a copy of the file(s) that you're replacing in c:\windows\system32\dllcache, c:\windows\servicepackfiles\i386, and c:\i386 - whether any or all of those locations exist depends on your PC. Either delete the copies of the file found, or replace them with your customised version. Also ensure that your Windows installation source (ie CD, network drive etc) is not available.
3. Find the real file that you want to replace. Ensuring that you have file name extensions set to visible if necessary, change the extension to something like .old. This is possible even if the file is "in-use" and cannot be otherwise renamed or overwritten.
4. Copy your customised version of the file into that location. If a dialog asking you to insert your Windows CD appears, cancel it and do not insert the CD.
Reboot to begin using the new file, if it was "in-use" previously. If you are replacing icons, don't forget to rebuild the icon cache!
Tutorials for Operating Systems, Applications etc can be posted here.
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