When I create a .exe, I can right click it and go to properties->details. Then I get a list like:
File Description | Type | Applic
This is simple file version info resource. For already existent files you can edit this information with any resource editor (for example Resource Hacker, it is outdated but still good). You can change icon this way too.
If you create your own application, then setting it depends on tool you are using. For example in Visual Studio you must look into project properties.