At one point I started making my own Personal GTA III Hud Weapon Icons for SA:LC when I figured I might as well finish them and upload them for everyone else to use...
Pics are here http://www.gtaforums.com/index.php?act=ST&f=58&t=538115&st=0#entry1062050737
They should work for GTA III, VC, and San Andreas but if you have no idea how to change weapon Icons then you should google...