If you use a double icon (16x16 and 32x32) icon, and you do like wgcs suggest AND you also right mouse on the gray part of the project manager and go to builder and put the same icon there, that shoudl replace you exe icon. You need to find a double icon, that way it will show up properly in windows explorer and on your desktop. One example of a double icon is located at "C:\Program Files\Microsoft Visual Studio\Common\Graphics\Icons\Dragdrop", those are double icons.
Mike Gagnon