There are a number of free or commercial applications that allow you to change the icon post-publishing - Google will help you find some, like Microangelo or ResHacker. There is also an application created by Josh Chunick using Director found here
However, as of D10 you can add an icon while publishing - but only for the platform you are authoring in Director on. Use the File -> Publish Settings... dialog and navigate it to the Projector tab where you can check the 'Custom icon for application' box and use the browse button to locate a valid icon file. You will need to have an icon pre-prepared to use here. Again, there are applications for creating ico or icns files.