Adding a custom Icon

[IWishIKnew]

I have finished a program and would like to include an Icon for it. I have no clue how and i can't find any way to do it. (and don't give me that "create a shortcut" crap that i keep seeing). Internet explorer, firefox, starcraft II, etc.. etc.. all have there own Icons that can not be changed. Those programs weren't magically made either, they were programed. How can I do the same?

[LB]

In windows, you need to use the icon in your resources. Make a .rc file in your project if you don't already have one, and add this:
MAINICON ICON DISCARDABLE "icon.ico"
Where icon.ico is the name of your icon, usually in the same directory as your project.
Edit: I think it can also be a bitmap (*.bmp)

[modoran]

Only *.ico is supported, not *.bmp. To be shown in explorer, it must be first icon resource.