How to change .exe icon??

Hello everyone, I've just encountered a problem. When I compiled a .exe file, the default icon of the application will be the windows console icon(like cmd.exe one). Is there any method I can change the icon to my custom icon??

PS: I am using Microsoft visual c++ 2008 express edition.

Thank you very much!!
1. in notepad paste
AAA ICON myicon.ico


2. then save as resource.rc

3. add the resource.rc file to your project.

it works on visual studio, code::blocks and dev-c++

NOTE:
1. myicon.ico is the name of your icon.
2. myicon.ico should be in the same directory as resource.rc
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