Versions of Visual Studio prior to VS2008 seemed to me to have a largely screwed up icon editor, and so I used an external icon editor to create them (used IconArt, which has become abandonware). VS2008 has a decent icon editor included, but icons that I create using it will not display in the shortcut for the built app! However, if I use IconArt to create the icon, it shows up in the shortcut just fine.
Yes, I modify the WinApp's project properties to indicate the VS-built icon as the project icon, but interestingly enough the displayed icon on the property sheet still shows the default icon, and that is the icon that shows on the shortcut (though the icon that shows in the Windows Explorer file view and in the app itself shows correctly).
I've examined the .csproj file directly and can detect no difference in how it handles it. I have a feeling the icon editor included with VS2008 makes a bad icon. Anyone have any certain knowledge on this, or know a workaround. I have tried editing the apparent bad icon in an external editor, but it doesn't help.