I changed the icon in the About settings and saved my project as an Application. If I click once on the .exe the icon displayed at the bottom left hand corner of the window is the red icon with the yellow flash in it. I don't want that.
I've changed the 256x256, 128x128, 48x48, 32x32, 16x16, 48x48-256c, 32x32-256c, 16x16-256c, 48x48-16c, 32x32-16c and 16x16-16c icons. These all work fine, at every possible appearance of the icon it looks like mine - apart from the one Windows 7 sticks at the bottom left.