>>If I have a resource editor created dialog in VC++, is it possible to compile it and choose which icon will be shown for the exe?<<
Not 'automatically' for dialog resources. Use this instead (can be used with normal windows too):
where hwnd is the handle of your dialog/window, nIconType is one of two values (ICON_BIG or ICON_SMALL) and hIcon is the handle of the icon retrieved, preferably as the return value of a succesful call to 'LoadImage', but LoadIcon will do. For clarification read up on WM_SETICON in msdn.
SendMessage(hwnd, WM_SETICON, nIconType, (LPARAM) hIcon);