Please note that I am asking about the DESKTOP icon, not the window icon. The icon shows up on the app window. This is fine. But when I run setup to install the application, the
I assume you are using the Visual Studio Setup Project to create your installer.
Go to View->Editor->File System->User's Desktop->[the shortcut]->Properties->Icon
There you can configure the icon. I also always make sure the icon file is copied into the installation folder as a stand-alone file (though I don't think that is strictly necessary).