ok so while working on my game i had come across a thought.
"Hmm, i wonder if i would be able to change the icon of my project"
well i googled it and YES,you can. It is a program called recource hacker. It does not only work for rmvx & xp,it works for previous versions and other programs too.
you can download it Here
If you need help on learning how to use it then heres a Tutorial