First off, create a suitable size icon in the .xpm format (.bmp I think also should work, thou I've had trouble with that format). Then change it into a xxxx.lrs file with 'lazres' (you may need compile lazres, the source is in the lazarus/tools directory), where xxxx I believe has to match your component name. Then put a {$I xxxx.lrs} statement int the initialization part of your component .pas file. That should do it.