Firstly, you use MAKEINTRESOURCE to covert your resource ID into a usable format. Then, you call LoadIcon or LoadImage to get an HICON. Lastly, you assign that HICON to a value in your window class. hIconSm is used for the icon in the top left corner of the window.
@Computergeek01: I'm glad that you pointed me to that, I will definitely want to use a custom resource file at some point. But for now, I am talking about resources that are stored in the executable. For example, I've got two icons that will be in the executable:
You will need to define IDI_ICON1 and IDI_ICON2 in your header file, then include that header in your resource file by the standard "#include <>" directive.