The icons for programs are stored inside the program executable. You have to get a program that can write icons right to the program file. Most programming languages have that ability though. Make the main form have the icon you want, and it should program it right in there.
The only time you need separate .ico files is if you want other people to use your icons, or you are making an MS-DOS program (which cannot have built-in icons)
For changing the screen resolution, you have to use Windows API functions.
Use ChangeDisplaySettings()
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With our extreme gelatinous apology,
We beg to inform your Imperial Majesty,
Unto whom be dominion and power and glory,
There still remains that strange precipitate
Which has the quality to resist
Our oldest and most trusted catalyst.
It is a substance we cannot cremate
By temperatures known to our Laboratory.
~ E.J. Pratt
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