Here is a way to do it: open your project with Visual Studio (get the free version "Visual Studio Express" if you don't have VS), in the project explorer tab, right-click on your project and select properties. You should be presented with a window containing several options (with tabs on the left). In one of the tabs you will find a field to load an icon project from the disk. Browse to select your ico file. Recompile the project. There you go.
The only downside is that each time you want to make modifications and you go back to SGDK2 to rebuid your program, you have to redo the icon part in Visual Studio. So you can test it once to see if it works well for you, but after that only do it before the releases.
If there's another way to do it, I don't know it.
