The application's icon is displayed when you view the executable with applications such as Windows Explorer. It displays a large 32x32 pixel icon in its Large Icon display and a 16x16 pixel icon in its other displays.
Right-click the project in Project Explorer and select Properties. Open the Common Properties folder, select the Build item, and set the "Application icon" value. You can either select an icon resource embedded in the project or select an icon file.
To make an embedded icon resource, make the icon file. You can use an external tool or the IDE's icon editor. Personally, I like to draw the icon in MSPaint or some other program and then copy and paste it into the integrated icon editor.
After you add the icon file to the project, select it in Project Explorer. Then in the Properties window, set its Build Action property to Embedded Resource.