I am trying to create a dialog box with an icon at the top like so.

I am using a resource file to load the icon like so.
IDI_ICON1 ICON ".\\usb.ico"
I have tried setting the window icon using the following code.
SendMessage(hwnd, WM_SETICON, ICON_SMALL, (LPARAM)IDI_ICON1);
SendMessage(hwnd, WM_SETICON, ICON_BIG, (LPARAM)IDI_ICON1);
hwnd is the window. As a result, I get a blue circle that looks just like the loading icon for Windows 7 and Vista. I am almost positive the icon is being loaded correctly as when I look at the task bar, my program has that icon representing my program. If you need the code I am using for the dialog window itself, let me know I will post it. I am using mingw32 C++ compiler on Windows 7. Thanks!
Use LoadIcon and pass an icon handle to WM_SETICON.