Here's what I found out thanks to the help
and the information from the forum

.
The first step is to find a paint program that permits you
to paint 16x16
32-bits or 32x32
32-bits for Windows XP.
I found one at
www.download.com in the windows section.
The second step is to find a program that will change the icon for the acknex.exe engine.
I found one at
www.angusj.com/resourcehacker/I painted my icon and I saved it as 32.ico in my game folder.
Then I did what the manual says.

The manual says :
For using an EXE file with an individual icon,
1- create a copy of the acknex.exe engine in your Gamestudio folder,
2- alter the icon of the copy with an Icon Manager program,
3- and give the path to the altered EXE in the Engine field (or just copy it back to acknex.exe).
4- The executable will then be created from your copy with the altered icon,
rather than from the original engine.
Please note that afterwards altering the icon of a published executable won't work.
The executable to my game was created with my icon when I published it.

What was needed on top of the information in the manual was the information on the "32-bit"
Ottawa