; Put the following into a userlib. Then you may use the AppIcon(IconName$) function.
; .lib "user32.dll"
; GetActiveWindow%():"GetActiveWindow"
; SetClassLong%( hWnd, nIndex, dwNewLong ):"SetClassLongA"

; .lib "Shell32.dll"
; LoadIcon%(hWND%,File$,Index%) : "ExtractIconA"

Parent = CreateWindow("Set Icon", ClientWidth(Desktop())/2-320, ClientHeight(Desktop())/2-240, 640, 480, 0, 1)
AppIcon("icon.ico")

Repeat
Select WaitEvent()
    Case $803
    End

End Select
Forever

Function AppIcon(icon$)
    hWND=GetActiveWindow()
    icon=LoadIcon(hwnd,icon, 0)
    SetClassLong(hwnd,-14,icon)

End Function