I've used an app called Resource Hacker. You can change the icon and other information of the app. You'll need a .ico file to change. Also, you can make one .ico file in GIMP, saving a file with various sizes of the same image (16x16, 32x32, 64x64, 128x128, 256x256).
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Here's the page for the program:
http://www.angusj.com/resourcehacker/#download