I used to use VB6 for years but now I only have Visual Studio.NET installed, so it's hard for me to remember back and picture what you're seeing.
As far as an icon, you're talking about the little icon that shows up on the top left of the title bar of the application window, right?
Are you sure that you're choosing something that, indeed,
is an icon?

(sorry, but I just had to ask that one)
The only other thing I can remember (and my experience with VB6 has been nonexistent for years already) is that if you want to put an icon on a command button, even after you choose the icon you want, nothing will change, until you set its style attribute to "graphical".
I'm sure this doesn't apply to application icons though. (Just for the heck of it, I
just set up an icon in a Visual Basic.NET application with no problems, and I don't remember having any problems with VB6 either?)
Would you maybe be able to send a screenshot? Or provide some more detailed info ... this is a bit boggling,
*IF* we're talking about the same thing!