First u change the Icon of the Form (Properties Windows Form -> Icon Property)
To change the Icon of the Exe file
-> Go Project -> Properties
-> Press Make Tab
( U can see the Project Title and Icon there )
-> Change the Form in the Combobox to get Different icon that u set for the form
using above said procedure we can only view the icons of different forms....
But How to change the icon???
Actually the above procedure is to change the icon of an Exe. This is helpful while making your application as executable and your exe file will have this icon.
And u mentioned the changing of form icon. This is also needed. Because any one form's icon will serve as icon for exe.