Simply create a special resource file that contains a reference to the .ico file that you want to use and then add a RC_FILE entry to your .pro file. The resource file usually has a .rc extension, and will look something like this (e.g. MyApp.rc):
IDI_ICON1 ICON DISCARDABLE "path/to/an/icon.ico"
The .pro entry that points to this file should be win32 specific:
win32:RC_FILE = MyApp.rc
Rebuild and hey presto! a nice Windows icon for your app.
You can also give your Linux/Mac applications an icon. More info on this can be found here: