I have a small app with a setup project. If I create a shortcut to my Primary Output, then this gets a standard Win7 icon and not the icon specified in my exe\'s Application
If you set the icon for the shortcut you can set a primary output as source. In the file system editor of the setup project, click on the "(Icon)" combobox in the properties pane of the shortcut, then option "(Browse...)", button "Browse...". You'll see this:
Then add output and select the primary output of the exe.