If the dialog has been created with a class you can specify the icon when the class is registered.
example.
wc.hIcon = LoadIcon( hinst, MAKEINTRESOURCE( ID_ICON ) );
wc.hbrBackground = (HBRUSH) ( COLOR_BTNFACE + 1 );
wc.lpszClassName = "nameofclass";
RegisterClass( &wc );
If the dialog has not been created with a class you will have to set the icon manually like so. The best place would be in WM_INITDIALOG in the Dialog Func.
HICON hIcon = LoadIcon(gInst, MAKEINTRESOURCE(1));
SendMessage(hwndDlg, WM_SETICON, (WPARAM)ICON_SMALL, (LPARAM)hIcon);
John