Go to "your OS X hard drive">System>Library>Core Services. In there you will find the finder app and another finder called the fake finder (what's that for?).
I am assuming you can do just like any other application in changing it's icon. But just incase, get info (Command I) on the finder, highlight the finder icon and copy it. Then open Photoshop and start a new PS document and paste the icon in. Alter it however you please, save it, then copy it, and go back to that "Get Info" window for the Finder and paste it in. Remove the original Finder alias in the Dock and replace it with the new finder by dragging the Finder to the Dock to create an alias.
I tried this up to altering the Finder icon in Photoshop, but did go through with changing it in the Get Info window.