Change the icon of the exe file generated from Visual Studio 2010

To specify an application icon

1. In Solution Explorer, choose a project node (not the Solution node).
2. On the menu bar, choose Project, Properties.
3. When the Project Designer appears, choose the Application tab.
4. In the Icon list, choose an icon (.ico) file.

To specify an application icon and add it to your project

1. In Solution Explorer, choose a project node (not the Solution node).
2. On the menu bar, choose Project, Properties.
3. When the Project Designer appears, choose the Application tab.
4. Near the Icon list, choose the button, and then browse
   to the location of the icon file that you want.

The icon file is added to your project as a content file.

reference : for details see here