Por fin.. de tanto buscar y mover aqui y alla, ya me funciona este codigo
Claro, hay que cambiar c:\salir.ico (que es un icono de 32bits) por el que tu quieras
Private Declare Function SendMessage Lib "user32" Alias "SendMessageA" (ByVal hWnd As Long, ByVal wMsg As Long, ByVal wParam As Long, lParam As Any) As Long
Private Declare Function LoadImage Lib "user32" Alias "LoadImageA" (ByVal hInst As Long, ByVal lpsz As String, ByVal un1 As Long, ByVal n1 As Long, ByVal n2 As Long, ByVal un2 As Long) As Long
Private Const WM_SETICON = &H80
Private Const IMAGE_ICON = 1
Private Const LR_LOADFROMFILE = &H10
Dim hIconBar As Long
Function hIcon(IconPath As String, IconSize As Long) As Long
hIcon = LoadImage(0&, IconPath, IMAGE_ICON, IconSize, IconSize, LR_LOADFROMFILE)
End Function
Private Sub Command1_Click()
hIconBar = hIcon("c:\salir.ico", 32&)
SendMessage Me.hWnd, WM_SETICON, 0&, ByVal hIconBar
End Sub