To do this you'll need:
-A good image editing program (Photoshop, GIMP, etc. basically anything but MS Paint.)
-A suitable text editor (Atom, SublimeText, Notepad++)
That's it. That's how simple this is, lol.

First off, get an image or make an entirely new one. In this guide, I'll use an edited version of the "Polish deal" icon that I used for a focus in my California Republic mod.
You can use any image you want for a focus icon, even some thinking face emoji meme or something. The limit is your imagination, as they say.

You can skip this next part if you're not editing an image.
So, open up the image you want to edit in your image editing program, made specifically for the purpose of editing images. Crazy, I know. Edit that to your heart's content.
Bam, it's done.

You can stop skipping now.

Save it as a .dds file. Paint.NET is best for this, so if you were using Photoshop or anything else that doesn't save .dds files, save it as a .png and reopen it in Paint.NET.

Whether you're doing this as part of a mod (recommended) or just putting this stuff directly into the game files (not recommended but what the hell, why not), save it in this exact location:
gfx\interface\goals
If you've saved it in the game files and want to save yourself some trouble, overwrite one of the game's focus icons. If not, name it whatever you want.

If you've just overwritten a default focus, congratulations! You're done with this guide. Hooray. Go play HOI4 and enjoy your un-Christian anime tiddies focus icon or whatever.

If you weren't lazy, and you gave your focus icon a unique name, this is the tricky part. Welcome to the tricky part.
Go into the game files and go into the interface folder, not gfx\interface. Just interface.
From there, go to goals.gfx and open that in your text editor (told you you'd need it).
When you're there, do this but with your own focus icon:






Pretty self-explanatory.

Then, go into the focus tree file of the mod you're making,
or in some random country's focus tree (common\national_focus\whatever_name.txt) and put that focus icon name's in there, like this:




Guess, what? You're done! You can now go in the game and see your artwork.













And now you've reached the end of the guide. You now possess the power to change or create focus icons. Have fun changing every focus icon into random memes or whatever.
Just remember:
With great power, comes great responsibility.