pygame.display.set_icon(pygame.image.load('icon.png'))
import pygame
win = pygame.display.set_mode((500, 500))
pygame.display.set_caption('Hello World')
icon = pygame.image.load("<< <<image_Nmae>>.<<extension>> >>")
pygame.display.set_icon(icon)
programIcon = pygame.image.load("icon.png")
pygame.display.set_icon(programIcon)