InstallShield 2013:
You must first build a release - and at that do so by using the project assistant Build Installation Screen and the Build Installation button at the bottom of that (those details tripped me up). After that, click the "Installation Design Tab", then expand "Media" and click "Releases". Then select a release (which only appears after you've built one!), and click the "Setup.exe" tab. There you will find entry an in list of properties where you can specify the "Setup exe Icon File".
On an immediately related note, you can change the name of the setup.exe file too. In the tree where you selected the release, is a parent level, i.e. "Product Configuration 1" or "PROJECT_ASSISTANT" - select that. In the "General" tab, there is a property called "Setup File Name". By default, it is just plain "setup". Change that to whatever you want, e.g. "MyProgramSetup".