I have added a .rc file to my project with just the following:
IDI_MAIN_ICON ICON \"..\\\\..\\\\icon_artwork\\\\windows_icons\\\\project.
You should be able to get a SDL_Surface from a .png file using
SDL_Surface *IMG_Load(const char *file)
then pass it to your SDL_SetWindowIcon(SDL_Window* window, SDL_Surface* icon)
method.
I don't think the IMG_Load(...)
method takes .ico files though, but a 32x32 .png version of your icon would be a good compromise...
Not ideal but the best workaround I can think of ;)