I don't use ICQ myself but I'll bet there are a number of people here that do. Here is a web site to read about it and you could download it and give it a shot. There are download links on this site.
Just download the software for your platform from the link Bob has given you. When you launch the program it will give you a chance to register for your own individual ICQ no. This is what you then give to people so that they can find & talk to you.
Personally, I would set your preferences up so that the only way people can talk to you properly is if you 'authorise' them first. ie. they have to ask your permission before your name can be added to their list and people can see if you are Online or not.
Once you are set up, just search for your friends by either putting their ICQ no. in, or by email address or something and then you are away! It's dead easy