For Qt 5, this process is automated by qmake. Just add the following to the project file:
win32:RC_ICONS += your_icon.ico
The automated resource file generation also uses the values of the following qmake variables: VERSION, QMAKE_TARGET_COMPANY, QMAKE_TARGET_DESCRIPTION, QMAKE_TARGET_COPYRIGHT, QMAKE_TARGET_PRODUCT, RC_LANG, RC_CODEPAGE
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For Qt 4, you need to do it manually. On Windows, you need to create a .rc file and add it to your project (.pro). The RC file should look like this:
IDI_ICON1 ICON DISCARDABLE "path_to_you_icon.ico"
The .pro entry should also be win32 specific, e.g.:
win32:RC_FILE += MyApplication.rc
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