Set the Icon dropdown in Project properties, and the Icon property of the form.
Found a solution: had the same problem...With the idea that my Background image wasn't working until I had it in the Resources. I went to the Form1_load event and added the following code:
System.Drawing.Icon ico = Properties.Resources.Untitled;
this.Icon = ico;
As "Properties.Resources.Untitled" being my icon that I added to my Resources.
And now seems to be workings as wanted.