Find out where GDK calls the Windows function RegisterClass. That function uses a structure called WNDCLASS. In that structure is a member called hIcon. That is the handle of the icon for the application. You can use LoadIcon to load it. You do not need to make a resource file to do this, but you must keep the icon file in the application directory in that case.
If that does not suit you, you can load it as a resource after doing this:
You can make resource files with VS2008, you just don't have a Visual editor, or any of the really cool tools that come with it. Resource files are text.
resource.h
appname.rc
#include "resource.h"
IDI_ICON ICON "filename.ico"
You will have to include resource.h and appname.rc in the project by adding them using Solution Explorer.
You will need to add #include "resource.h" in the main source file, too. You can add any type of resource in this manner, including dialog templates, and menus.