heres a run down on some possible things you could be talking about, but please be more specific:
1. To choose an icon for a skill: Go to the data base and click on the skills tab. to the right of the name it will say icon. choose your icon from the drop down list. you can import your own icon via the resource manager.
2. to show a skill icon while preforming a skill in battle: use a script. Sangolem made an excellent one:
http://www.gamebaker.com/rmxp/scripts/e ... bulary.php
3. To show a skill icon while using a show text command in an event, you need a custom message script that will simply allow you to enter a short code to add an icon. or maybe that was a default function? shit, i havnt used default anything in so long i dont know.