What you need is an installation program. I use Jordan Russell#s 'Innosetup' ( http://jrsoftware.org/isinfo.php ) which has the advantage of being free. The installer can bundle up salflibc.dll, your chm help file, 'how-to' Powerpoints etc, into a single EXE along with your program, and then unpack them into folders you define, install specific fonts, set the registry, etc. It can also define your desktop icon.
As a one-off, you can change the desktop icon manually, by right-clicking on it, and the change icon option is in Properties.
There's one huge disadvantage with Windows, and that is where you repeatedly reinstall on your development machine. Windows stores the icon in an 'icon database', and re-uses it. Fine, but you may find that the icon has been downscaled for use in, say, the alphabetical list in the Start menu, and looks awful. It's the devil's own job to get that re-defined.
It's therefore worth using something like IconFX to create a multi-resolution icon for use in your .RC file, and getting it right for all resolutions right from the start.
IconFX also enables you to create those icon strips that Paul introduced a couple of versions ago.
Not that FTN95/CW+ can set the minimise icon for you, but not, it seems, the others.
Eddie