<p>I want to make my .Net application display a notification in the system tray. So I want to show an icon for that, can anyone tell how to do that?</p>

In .Net apps you can specify the file to use as an icon - it can be a bitmap or png etc. so just use your favourite image editing program to create you icon.
This
article
gives advice on getting your app to put an icon in the system tray.
Hope this helps.