>I have built a .EXE file out of the project manager, then I see the file in the Windows Explorer I see the little VFP orange fox icon.
>I have created the project and stated in the project properties that I want to show MyIcon.Ico, when I create a direct access in the Windows desktop I do see the correct icon (MyIcon.ico) but not in the Windows Explorer. I'm sure I'm missing something. Can someone give me a hand? Thanks in advance!

There's an entry in the Knowledge Base (under Project Manager) which describe the steps you need to take.