Did you use wxWidgets wizard?
If, yes open the resource.rc file in C::B. Change the following line
aaaa ICON "wx/msw/std.ico"
To
aaaa ICON "<Path_to_your_icon>/<Your_icon>.ico"
If not, then create a file with the above content and above name and add it to your project.
Regards,
Biplab :)