icons

how do .exe's have customized icons, are they coded into the program some how

if so can some one give me an example

There are many ways to do this, first tell me what ide youre useing or how your programming,
there are lots of ways, it just depends what is the easiest way, i know for mfc you can include that in
your resources and just link, for hardcore c++ windows programming you have to call loadresource(), findresource(), and finally lockresource() before you can actually use that resource.. look for it in the msdn docs or the platform sdk on how to use it