well it what I use, or I forgotten I changed it in paint from bmp to ico.
edit
quick demo
run this code then select the bitmap to be an icon, bingo both the icon ib the widows bar and app are now the same when next recompiled.
Rem Project: makeanicon
Rem Created: Sunday, August 01, 2010
Rem ***** Main Source File *****
set text font "Aril"
set text size 42
box 0,0,screen width(),screen height(),rgb(rnd(255),rnd(255),rnd(255)),rgb(rnd(255),rnd(255),rnd(255)),rgb(rnd(255),rnd(255),rnd(255)),rgb(rnd(255),rnd(255),rnd(255))
ink 0,0
center text screen width()/2,screen height()/2,"My icon"
get image 1,0,0, screen width(),screen height(),1
save image "picture_icon.bmp",1
wait key
Dark Physics makes any hot drink go cold.