Hi Leon,
The last image that I posted to my answer, is just a sample of how icon property defined in a "My project" screen, affects the exe file.
A sample now:
I get the project HelloWord available in %PROGRAMFILES%\SAP\SAP Business One SDK\Samples\COM UI\VB.NET\01.HelloWorld\.
Open in Visual Studio and build the solution.
The result in bin folder is look like this:
Now go to "My project" screen and sets a new icon in the properties, like this:
Build your solution again, and the result in bin folder is look like this:
Now you able to see your icon in your exe file.
Hope this answer solves your doubt.
Regards,
Diego