If you have an MFC application:
1. Open resources in VS
2. Find Icons.
3. Open IDR_MAINFRAME.
4. Draw whatever you need or copy from another icon.
You can add new icon here, delete old one one and rename your new icon.
Another way explained fine here:
How to Change the Icon of MFC application?
http://weseetips.com/2009/04/05/how-to-change-the-icon-of-mfc-application/
Visual C++ .Net Applications Resources: Icons
http://www.functionx.com/vcnet/resources/icons.htm
If you have a Win32 application without any icon, you need to add the resource file and add the icon manually.
