일단 소스 코드 입니다.

아래 소스를  ChangeExeIcon.h 을 만들어서 붙혀 넣고 저장 합니다.

#ifndef ChangeExeIconH
#define ChangeExeIconH

#include 
#include 
#include 
#include 
#include 

typedef struct
{
	BYTE width;
	BYTE height;
	BYTE colorCount;
	BYTE reserved;
	WORD planes;
	WORD bitCount;
	DWORD bytesInRes;
	DWORD imageOffset;
} ICONENTRY;

typedef struct
{
	WORD reserved;
	WORD type;
	WORD count;
	ICONENTRY entries[1];
} ICONHEADER;

typedef struct
{
	BITMAPINFOHEADER header;
	RGBQUAD colors;
	BYTE xors[1];
	BYTE ands[1];
} ICONIMAGE;

#pragma pack(push)
#pragma pack(2)

typedef struct
{
	BYTE width;
	BYTE height;
	BYTE colourCount;
	BYTE reserved;
	BYTE planes;
	BYTE bitCount;
	WORD bytesInRes;
	WORD bytesInRes2;
	WORD reserved2;
	WORD id;
} GRPICONENTRY;

typedef struct
{
	WORD reserved;
	WORD type;
	WORD count;
	GRPICONENTRY entries[1];
} GRPICONHEADER;

#pragma pack(pop)

bool __fastcall SetExeIcon(LPSTR exeFile, LPSTR iconFile);
bool __fastcall LoadingIcon(LPSTR iconFile, ICONHEADER*& pHeader, ICONIMAGE**& pIcons, GRPICONHEADER*& pGrpHeader, int index=0);

#endif

그 다음 아래 소스를   ChangeExeIcon.cpp  을 만들어서 붙혀 넣기 하고 저장 합니다.

#pragma hdrstop
#include "ChangeExeIcon.h"
#pragma package(smart_init)


#include 

bool __fastcall SetExeIcon(LPSTR exeFile, LPSTR iconFile){
	ICONHEADER* pHeader;
	ICONIMAGE** pIcons;
	GRPICONHEADER* pGrpHeader;
	bool res = LoadingIcon(iconFile, pHeader, pIcons, pGrpHeader);
	if(!res) {
		return false;
	}

	HANDLE hUpdate = BeginUpdateResource(exeFile, FALSE);
	if(!hUpdate)return false;

	UpdateResource(hUpdate, RT_GROUP_ICON, "MAINICON", MAKELANGID(LANG_NEUTRAL, SUBLANG_NEUTRAL),
		pGrpHeader, sizeof(WORD)*3+pHeader->count*sizeof(GRPICONENTRY));

	for(int i = 0; i < pHeader->count; i++) {
		UpdateResource(hUpdate, RT_ICON, MAKEINTRESOURCE(i + 1), MAKELANGID(LANG_ENGLISH, SUBLANG_ENGLISH_US),
			pIcons[i], pHeader->entries[i].bytesInRes);
	}
	EndUpdateResource(hUpdate, FALSE);
	return true;
}

bool __fastcall LoadingIcon(LPSTR iconFile, ICONHEADER*& pHeader, ICONIMAGE**& pIcons, GRPICONHEADER*& pGrpHeader, int index){
	HANDLE hFile = CreateFile(TEXT(iconFile), GENERIC_READ, FILE_SHARE_READ, NULL, OPEN_EXISTING, FILE_ATTRIBUTE_NORMAL, NULL);
	if(hFile == INVALID_HANDLE_VALUE)return false;
	pHeader = (ICONHEADER*) malloc(sizeof(ICONHEADER));
	DWORD bytesRead;
	ReadFile(hFile, &(pHeader->reserved), sizeof(WORD), &bytesRead, NULL);
	ReadFile(hFile, &(pHeader->type), sizeof(WORD), &bytesRead, NULL);
	ReadFile(hFile, &(pHeader->count), sizeof(WORD), &bytesRead, NULL);
	pHeader = (ICONHEADER*) realloc(pHeader, sizeof(WORD)*3+sizeof(ICONENTRY)*pHeader->count);
	ReadFile(hFile, pHeader->entries, pHeader->count*sizeof(ICONENTRY), &bytesRead, NULL);
	pIcons = (ICONIMAGE**) malloc(sizeof(ICONIMAGE*)*pHeader->count);
	for(int i = 0 ; i < pHeader->count; i++) {
		pIcons[i] = (ICONIMAGE*) malloc(pHeader->entries[i].bytesInRes);
		SetFilePointer(hFile, pHeader->entries[i].imageOffset, NULL, FILE_BEGIN);
		ReadFile(hFile, pIcons[i], pHeader->entries[i].bytesInRes, &bytesRead, NULL);
	}

	pGrpHeader = (GRPICONHEADER*) malloc(sizeof(WORD)*3+pHeader->count*sizeof(GRPICONENTRY));
	pGrpHeader->reserved = 0;
	pGrpHeader->type = 1;
	pGrpHeader->count = pHeader->count;
	for(int i = 0; i < pHeader->count; i++) {
		ICONENTRY* icon = &pHeader->entries[i];
		GRPICONENTRY* entry = &pGrpHeader->entries[i];
		entry->bitCount = 0;
		entry->bytesInRes = icon->bitCount;
		entry->bytesInRes2 = (WORD)icon->bytesInRes;
		entry->colourCount = icon->colorCount;
		entry->height = icon->height;
		entry->id = (WORD)(i+1+index);
		entry->planes = (BYTE)icon->planes;
		entry->reserved = icon->reserved;
		entry->width = icon->width;
		entry->reserved2 = 0;
	}
	CloseHandle(hFile);
	return true;
}

그담 사용  하고 싶은곳에 두 파일을 프로잭트에 포함시키고
ChangeExeIcon.h 헤더를 include 합니다.

사용법:

AnsiString ExeFileName = "c:\\a.exe";
AnsiString IconFileName = "c:\\a.ico";

SetExeIcon(ExeFileName .c_str(), IconFileName .c_str());

바꿀 아이콘 파일의 포든 포맷을 테스트 해보진 못 했습니다.
아이콘 크기나 비트에 따라 안될 수도 있습니다.