>Is there any possibility to issue an Icon the the application in the config.fpw , just like _screen.icon = "myicon.ico" ?
>

The method that I use in my apps is to start with SCREEN=OFF in CONFIG.FPW, and then change the icon within my main program routine before making the screen visible. This doesn't help where you've started from the development environment, since the CONFIG.FPW is set when VFP starts, not each time you issue a DO name of compiled app

>Why the command windows and the project designer appear in my application after I compile it? How to automatically close them when running my application?

I assume that you're talking about running the application via DO in the development environment, since neither is visible (or even available) in a compiled .EXE started by a shortcut, or by clicking on it from inside Explorer, or started from a DOS prompt or the Run box. You could issue the following commands to hide the windows:

HIDE WINDOW "Project Manager"
MOVE WINDOW "Command" TO -1000,-1000