change icon for software in setup project

1. Create an ico image file representing your Icon. (Google is your friend :-))
2. Add it to your project in a resources folder, set the build action of the newly created ico file to Content.
3. In your Application projects properties, there is an Icon setting option, set this to your newly added ico image.
4. Add a resources(.resx) file to your project, open it, click 'String' drop down, select the 'Icons' option. Now drag your ico image from your project and drop it here.
5. In your base form or default form set the Icon property to your newly added resource image like so...

public Default()
{
    InitializeComponent();

    Icon = MyProjects.Projects.TestApp.App.Properties.Resources.MyNewIcon;
}

You should be good to go :-)

This is the way I did it :-) hope this helps.

Follow the Steps:-

Right click on the name of your project in the solution explorer window and
select the Properties Option.

In Application Tab go to the Resources where you will find the Following description "Specify how application resources will be managed:".

In that you will find Icon Radio Button selected, there you will find combo box in which Text will be "(Default Icon)"

on Right side of combo box you will find Button where text is "...". Click That button and select the location of your icon File and you can view your icon on right side of button.

That's it. And that Icon will be seen on Application Setup, Desktop Shortcut, etc.

hii,
in solution explorer add icon file

then in file explorer there are default 3 folders
1) application
2) user programs menu
3) users desktop

in user programs menu right click and add shortcut now right click on shortcut
-> properties window select icon->browse->browse and select icon file

similarly do it with users desktop folder