When I include my Application Bar’s icon URIs, I have them in the folder…but it still shows the default “X” icon instead of mine. Here is my code:
<phone:PhoneApplicationPage.ApplicationBar>
<shell:ApplicationBar IsVisible="True" IsMenuEnabled="True">
<shell:ApplicationBarIconButton IconUri="/Images/help.png" Text="Help"/>
<shell:ApplicationBar.MenuItems>
<shell:ApplicationBarMenuItem Text="about"/>
</shell:ApplicationBar.MenuItems>
</shell:ApplicationBar>
</phone:PhoneApplicationPage.ApplicationBar>
The default icon it shows is:

Pay attention to how to compile the project. In particular check that the icon to include has this property:
Build Action: Content