The icons you are seeing on desktop is not a icon file. They are either executable files .exe or shortcuts of any application .lnk. So can only set icon which have .ico extension.
Go to Project Menu -> Your_Project_Name Properties ->
Application TAB -> Resources -> Icon
browse for your Icon, remember it must have .ico extension
You can make your icon in Visual Studio
Go to Project Menu -> Add New Item ->
Icon File
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