Thank you @Ponce-De-Leon , it works
With a new icon:
Thank you.
You can change that Icon in the ArcMenu Settings to the Zorin Z if You want.
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Hi,
It doesn't matter :).
I prefer the official icon :).
An icon which make me a bit crazy is this one of the Files applications.
(see above).
It is not this one in the Gnome App ?
Why ?
Nice day 
I think you would need a Gnome extension to use this icon. Maybe it is possible with Gnome tweaks or another extension.
sudo apt install gnome-tweaks
After you have installed gnome-tweaks, you can check whether you can change the icon by right-clicking on the file icon (choose properties there), or whether you need to activate "user themes" first.
You should then download the image with the standard Gnome file icon so that you can select it.
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When You never changed the Icon Set, You use the default Zorin Icons. And there is this grey Icon the Standard. The blue one is in the hicolor Icon Set. If You prefer this one, You can change it manually.
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Ok @zenzen
In General Menu > Zorin Appearance > Theme > Other > icons
I select "hicolor", And it's OK. I have the right icon for Gnome Files.
This change others icons
Thank you @Forpli for Tweaks that I have forgotten to activate.
There is this setting in Appearance.
Note.
In Tweaks, we have too this setting
But, not effect!
Thank you, José
You can either change all icons by selecting a different icon theme under Appearance (you can also download other themes). Or you can change only the icon for the file manager in the taskbar by right-clicking on this icon, selecting properties and then selecting a different icon image.
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I've split this into a new thread to keep things on the topic of changing application icons.
Those settings change the entire icon set selected. For a single icon, you'd have to change the file itself for the appropriate icon set. It can be a bit tedious (for me, anyway) to find out exactly which icon that is but it's possible.
I think the default icon sets are located under /usr/share/icons, and the file itself is called "nautilus.png". Another option is to change the "Icon" property from the launcher file, which is located under /usr/share/applications/org.gnome.Nautilus.desktop. You could, for example, download the file that you want and point to it directly:
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To add another Way to change a single Icon:
You can use Main Menu and there go to the Nautilus/Files Entry, click on it and choose Properties on the right Side and then You get this Window:
Click on the Icon on the left and then navigate to /usr/share/icons/hicolor/scalable/apps and search for the Icon org.gnome.Nautilus.svg and double-click it. Then you should see it in the Window above. Click on OK and it should be changed. Maybe restart.
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