Hi,

>It depend which version of VF you are using if its below 3 (I think) there is an app that you can run (supplied by Fox) called AppIcon.
>If it's a visual version then in the project Info click on the icon button.

and, of course, you can change it in Properties. Just right click on shortcut and select a new icon.

Note: The Caroline's awnser is better because you do the work just once.