VS 2008 SP1.
I have created a setup project for our client. The icons for the setup.exe and setup.msi are the standard icons.
Our client doesn\'t want this
It is not possible to change the icon of the msi. It does not have an icon set on it. It is just a document that is handled as install package if you have Windows Installer installed. If not, you will actually just see the windows default icon for unknown file types!
For the setup.exe, you can do it by editing the icon(s) on the exe after it is build. Answer from mc2thaH (steps 2-4) is one approach.
Another tool for icon editing is Greenfish Icon Editor Pro, which is a very good free icon editor with full support for 32bit image editing. Download here.