Specify default icon

I have an App that will be available for download for Mac(.app) and for PC(.exe)…(the app was created in Flash CS3 and exported for .exe & .app).

My question is:
How do I specify an icon image that will be used as the main image when a user downloads the file?

I figured this forum would be the best place to put this question because I imagine that game developers do it all the time!

Thank you for any help.