For windows this is what you have to do for having an icon associated with your application:
1. put your icon file, called something like myappico.ico, in your project source folder.
2. create a resource file, named something like myapp.rc, in the source folder.
That would be a plain text file containing just one line, something like this:
IDI_ICON1 ICON DISCARDABLE "myappico.ico"
3. in your myapp.pro, or whatever is its name, file add a line stating that it has to refer to the just created .rc file:
RC_FILE = myapp.rc
Recompile, and now your application should be associated to your new icon.