are you using an 256 color icon VFP only supports 16 color icon
you need to create an ico with an 16x16 and 32x32 Icon with 16 colors for this to work or you can use resourcehacker to change the exe icon.

>I'm having a devil of a time making the selected .ICO file associate with the generated .EXE file of my project. Here is what I did:
>
>1. Activate the project window.
>2. Select Project -> Project Info (Ctrl+J)
>3. Select the Project tab.
>4. Check the "Attach icon" box
>5. Press the "Icon ..." button and select the desired .ICO file
>6. Press the "OK" button
>7. Build a Win32 executable/COM server(exe) with the Recompile All Files and Display Errors options selected.
>
>The .ICO file is located in the same directory as the project and by default the .EXE itself ... I even include the .ICO file into the Install Shield build (not sure that does anything but pollute the install but I was running out of things to try).
>
>Ladies and gentlemen that's all I thought a soul had to do. Apparently something is fubar. Anyone else had a problem like this???
>
>Thanks,
>
>CTBlankenship