Becky,
You need both 16x16 and 32x32 versions of the icon in the .ico file for your icon to appear everywhere. There is an article here in the FAQ about how to use imagedit to get both icons.
>When using setup wizard, setting icon for start
>menu works just fine. However, if I try to create
>a shortcut on the desktop, the default icon is
>the fox icon, how can I change this so the default
>is my icon?