PE (exe, dll,....etc.) Icons are located in the resource section of the PE file. There are pleanty of programs that will allow you to add/remove/modify resources.
ResourceHacker by Angus Johnson is a good one.
Warcraft II bne.exe contains 2 copies of its icon - 16x16 and 32x32
The map editor has 2 icons, one for the editor program, and the one that is assigned to PUD files for the system to use.. and again 2 sizes of each, so 4 total.
For me, the 16px wc2 icons end up looking better on the taskbar/dock, even though they are blocky and horrible when you zoom in. The 32px ones work well for desktop icons.
