In the properties window of the form, Select the Icon property. To make an Icon for the exe, you'd have to go to Project, Properties, and select the Make tab. The Icon drop down will be there...
Not really. It has to be an .ico file. I am not saying that it is impossible to make a .jpg an icon for a program, but that is SO much work, and it is actually a bit unporfessional. I'd suggest you get a program which can convert jpg files to ico files. A very good example would be Axialis Icon studio.
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