Search "icon" in the help manual to find:
For using an executable with an individual icon, create a copy of the acknex.exe engine in your Gamestudio folder, alter the icon of the copy with an Icon Manager program, and give the path to the altered executable in the Engine field. 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.