Something

LRESULT CALLBACK WndProc(HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
{
    switch(msg)
    {
        /* ... */

        default:
            return DefWindowProc(hwnd, msg, wParam, lParam);
    }

    return 0;
}



INT WINAPI WinMain( HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lpCmdLine, int nCmdShow )
{

/* ... */

HICON hIcon;

hIcon = LoadIcon(hInstance, MAKEINTRESOURCE(IDI_MYICON));
SendMessage(hwnd, WM_SETICON, ICON_SMALL, (LPARAM)hIcon);

hIcon = LoadIcon(NULL, IDI_APPLICATION);
SendMessage(hwnd, WM_SETICON, ICON_SMALL, (LPARAM)hIcon);

/* ... */

}