I had been using the printscreen/mspaint method for a while and still do from time to time. I'm sure you can find and download free image libraries from the internet, however, or find a program to extract icon resources from program files (provided that you do not violate any copyright laws of course). I have one called GetIcons.exe. Search download.com for it if you wanna try it.
If you are looking for some sort property or function that throws an "open" icon on a button, however, there is no windows API or standard image function of any kind available to us, so though your method of obtaining the image may not be ideal your method for using a "standard" image on a button is right on. Unfortunately, as far as Windows itself is concerned there really are no standard toolbar icons like there are messagebox icons.