VS 2008 SP1.
I have created a setup project for our client. The icons for the setup.exe and setup.msi are the standard icons.
Our client doesn\'t want this
You can change the setup.exe icon, but I'm not sure about the *.msi. I haven't tested this with it.
A quick Google search pulled up some other approaches, so if this won't work for your particular case, check some of these out.