>I read somewhere that according to windows interface guidelines that modal forms shouldn't have an icon.

Oh. See thats wierd, the icon is not for looks (wholey :-), it allows a spot for a menu to Minimize, move, resize, close, ect. so you can do this with the Keyboard instead of a mouse (although you can't in VFP :-(

>I notice, for example that VFP's messagebox doesn't have an icon.

Type in "error 'Icon'" from the command window.