If you mean how do you make the form display an icon, simply use the Properties window to set the form's Icon property.
If you want to set the application's icon, open the Project menu and select the Properties command. Then set the Icon entry. There should be a button with an ellipsis to let you pick the icon file.
Many applications use the same icon for forms and the program itself.
For some information about giving forms nice icons, see my post Give an application beautiful icons in C#