you can do this using the Windows API SendMessage function.
you'll need to use the engine variable hWndMain
you'll need to read about how to use LoadIcon

here is a Delphi Example from the SDK Samples. This example is loading the new icon from a resource file.

// Uses icon from resource file (.rc) for the A7 Engine window.
SendMessage(ev.hWndMain, WM_SETICON, 1, LoadIcon(MainInstance, 'PROGICON'));