You will have a resource file named something like ProjectName.qrc and these list the icons (usually PNGs). With Qt Creator it already starts out with a blank QRC file for you. When specifying the "file" you use the syntax in the manner of ":/Images/MyCrazyIcon.png" and the icon is loaded from the resource that is embedded into your executable. Note that Qt does not manage resources in the very most perfect way, which is to have them loadable upon demand but not always hogging up system memory; they ALWAYS hog up system memory, which really is not such a big deal if they are small. For the big graphics you want flushed out later, just specify a real file name (e.g., "MyBigFile.png" instead of ":/MyBigFile.png", which the latter points to a resource within the executable).
With the resource syntax the power is in the colon character ":", so you could even have ":MyFile.png", providing the QRC file is located in the same directory as the resources. That is how I am doing it, and so far see no downside of this syntax. I hate including ".../Images/..." in the syntax, so my resource names are addressed with ":MyPic.png" without the longer ":/Images/MyPic.png" and all works fine.
The Qt documentation states that AT THIS TIME they do not support true resource handling that Windows and Mac supports, but that things could change in the future. Remember, "true resource support" refers to that nice thing where you can place multi-megabyte graphics and sounds within your executable and never worry about them loading into memory until the magic time you request them. The QRC resources are loaded into memory when the executable is loaded up. The skinning by loadable file support more than makes up for this weakness. Qt is improving rapidly and one day they could very well support both the Windows and Mac resource systems. I am getting redundant and must go. Ta ta. Everybody mod me up, I need the points.