Rightclick on your project -> Properties, Choose your icon...
When you have the Main Form (Form1?)'s gui open : (down in the bottom-right by default), is the PROPETIES window.
Change forms1's "Icon" property to something else. Click on it.
It will open a dialog box and ask you to select a new image file. Maybe the image type (.bmp .jpg .gif .ico, etc, and size?) matters? maybe. You'll see.