IF I prepare my images (uncompressed tiffs) for the different size of icons. For OS X 10.5:
512x512
256x256
128x128
32x32
16x16
I can then use /Developer/Applications/Utilities/Icon Composer.app (Included with the xCode) to create an .icns
IcoFX can then be used (on Windows) to convert the icns to a windows .icn.
So I now I have got my Mac Icon and my Windows Icon.
For the DMG on the Mac I take the .app out of the .dmg that shoes creates. I open the .app as folder by right-clicking 'Show Package Contents' then replace the Shoes.icns and /Resources/Shoes.icns
The app then need to be repacked in a dmg for distribution I could use iDMG and also add the icns as an icon for the dmg.
For the EXE on Windows I can use IcoFX Resource Editor to change the embedded icon (.icn)
My .dmg (& .app) and .exe all take on the appearance of the new icon.
Until execution then the standard shoes icon appears, on the mac dock, in the upper left of the windows frame and the windows task bar.
I am unsure if the icon stays the same as the shoes icon because it is actually shoes that is running the application or because the .app and the .exe are wrappers for an embedded .shy file which maintains the shoes logo.