<p>How do I set the executable icon for my C++ application in visual studio 2008?</p>

First go to Resource View (from menu: View --> Other Window --> Resource View). Then in Resource View navigate through resources, if any. If there is already a resource of Icon type, added by Visual Studio, then open and edit it. Otherwise right-click and select Add Resource, and then add a new icon.
Use the embedded image editor in order to edit the existing or new icon. Note that an icon can include several types (sizes), selected from Image menu.
Then compile your project and see the effect.
See:
http://social.microsoft.com/Forums/en-US/vcgeneral/thread/87614e26-075c-4d5d-a45a-f462c79ab0a0