There is nothing in gWidgets here to help, but if you load RGtk2, then the setIcon method of the GtkWindow can help you, but you need to get it first:
Try something like:
w <- gwindow()
require(RGtk2)
img <- gdkPixbufNewFromFile("your_icon.png")
getToolkitWidget(w)$setIcon(img$retval)