It is truly odd that when you are creating a deployment (set up) project, and you create a shortcut to the "Primary output" (an .exe), the shortcut does not automatically get the .exe's icon. Instead it gets a generic document shortcut icon. Some of the answers here suggest adding an .ico file to the installer, but that certainly feels wrong. You can get the desired icon into the shortcut without adding an .ico file.
Assuming you have already given your program the desired icon,
- In the solution explorer, right click on the installation project and go to "View -> File System".
- in the File System window, find the shortuct whose icon you want to change (for example, under "Users's Programs Menu")
- go to the shortcut Properties (right-click and pick "Properties Window")
- go to Icon
- Browse...
- change "Files of type" to *.exe
- browse to and select your "primary output"
- OK, OK
And as serhio pointed out, a similar process can set the icon for the Control Panel's "Add or Remove Programs" list.
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