You can change the icon of the shortcut by changing the ICON property. It is default (None). If you need to do so you must add icon file to the application folder. then you can choose that file as your shortcut Icon.
If you want to change Setup.exe file Icon you need to use third party like
http://www.exeicon.com/program-icon-changer/[
^]. Otherwise as i know you can't change inside the VS 2008.
I hope this will help you.