Loopers, since you're obviously new to the MicroSnot conspiracy, I'll give you a hand. The only way to change the icon of the executable, created from Visual Basic is to have a windows Icon file. You have to set the "Icon" property of the particular form. Now you might be asking "How do I get/create an icon file?". The only way I know is to use Visual C++, it has it's own icon editor.
Therefore, if you want to create Winblows apps, avoid Visual Basic like the plague, used Visual C++.
Personally, I prefer using Linux with the Qt libraries. Qt is 100% C++, has libraries for XWindows, Sockets and more (none of that incline C crap).