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
It is not possible to change the icon of the msi. It does not have an icon set on it. It is just a document that is handled as install package if you have Windows Installer installed. If not, you will actually just see the windows default icon for unknown file types!
For the setup.exe, you can do it by editing the icon(s) on the exe after it is build. Answer from mc2thaH (steps 2-4) is one approach.
Another tool for icon editing is Greenfish Icon Editor Pro, which is a very good free icon editor with full support for 32bit image editing. Download here.
msi cant be edited. At the same time setup exe doenst have all the valid informations. The best way to handle this is to have an msi to exe converter. EgeUE-MSI-to-EXE is a good converter which need not be installed. It converts msi to exe on the fly. Now you can edit the icon of this exe from your visual studio as explained by @mkchandler. Bear in mind that the logo you are going to import has to be .ico file to avoid further complications. I did not get a jpg or bmp image working as the icon. ico works fine like a breeze..
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.