A family of Microsoft word processing software products for creating web, email, and print documents.
I think you're mis-remembering the XP days. You could always change the icon for an entire file format (for example, all Word documents), or for specific shortcut icons, but not for specific files that are not shortcuts. Here is a 6-year-old thread that discusses this kind of request and concludes that it isn't possible.
Here's a screen shot of a file's Properties dialog in Windows XP. There is no Change Icon button (the Change button opens the dialog for changing which program will open the file).
In Windows 10, the Change Icon button is still in the Properties dialog of a shortcut:
NOTE: Although you asked about a Word document icon, this is really a question about Windows files in general. Any further posts about it should be made in the Windows forum.