Mischi beat me ...
But as well as the things he mentions, you could also, perhaps, tell us what you are expecting to happen when you do change the icon. Depending on the platform, you may need to do a range of different things.
(The Mac wants a ICNS file, different ones for app itself, the dmg file and so on. Linux likes a set of app icons in the appropriate place and a desktop file to refer to them, windows, hmm, its easier.... And are you wanting the icon to show up in your file manager associated with the binary, in the menus or on the dock or plank while its running.)
General advice, too short an question is, perhaps, worse than too long a question ?
Davo