The little orange icon above the menu

You could change it by uploading a new image to your site using FTP, cPanel, or whatever file management application your host provides, and then use some custom CSS to point to the new image:

#d5businessline-main-menu a:hover, #d5businessline-main-menu .current-menu-item > a {
	background: url('/path/to/image') no-repeat scroll center top transparent;
}

The theme’s design is based around a 40×25 image, so it’d be best if you used an image that exact size or at least close to it.