Icon I set in properties is visible in taskbar and when on application window, but application icon in explorer is different.
If you're using Visual Studios, this can be set in the Application Properties (the Project menu, I believe). This is the same place you set your resources, target .net, etc.
Could it be that the application icon you have set has different images at different icon sizes and this is why you are seeing a difference in explorer?
To test this, open your icon in Visual Studio. The different resolutions are listed (on my screen to the left). If you don't want to create all resolutions, just delete the ones you don't want and Windows will attempt to resize icons for you, although they will appear blocky in another resolution.
Ok. Think I got this:
You've been setting the Icon property of your Frame, not the application. Since the frame gets its own entry on the task bar, you see the correct icon there.
To get the right icon for your executable, go to the executable project in your solution, and go to its properties. You'll see a setting on the Application tab for icon (Under Resources). Now, when you go to the .exe in explorer, it will have the right icon.