You need to add an icon resource to your application. It will be used for your exe.

You also need to get a compiler that's not 9 years old.
LOL! Yeah....This is usually done with a built-in program that came with the compiler. MSVC 7.1 has an icon editor along with some other crap I don't use. The file extenstion is .ico , atleast I think it is. Hope that helps.....But get a new compiler....seriously.