i just tried following code it works
m_prop.m_hIcon = AfxGetApp()->LoadIcon(IDI_MYICON);
m_prop.m_psh.dwFlags |= PSP_USEHICON;
m_prop.m_psh.hIcon = m_prop.m_hIcon;
SetIcon(m_hIcon, TRUE);
try this may help you...
The secret of life is not enjoyment but education through experience. - Swami Vivekananda.