>Right. That's what I did but the shortcut icon never changed nor did the appearance of the EXE icon in explorer. Think sonethings wrong?

I've never seen it fail provided that:

The icon is properly attached through the Project Information dialog and;
There are 32x32 and 16x16 icons in the icon file; and
Both icons are 16 colors.

This last item is the only thing that I can think of that might explain this. I've seen it only when using 256 color icons.