aMAIN ICON "<Path_To_Your_Icon>/<Icon_File_Name>.ico"
Now compile your project and your application will have the icon You've specified.
Ok, but how can I adress it in my code?
For example:
How can I create a wxIcon object?
Read the APPLICATION INSTALLATION sub-chapter in chapter 20. There are couple of hints on how to use icons in Linux. Hope it'll help you. :)