How do I change the pygame icon?

First load the icon image as a surface, then use pygame.display.set_icon(surface) to change the icon.

EDIT: Since the asker doesn't know what a surface is

From the docs at http://www.pygame.org/docs/ref/surface.html

"A pygame Surface is used to represent any image. The Surface has a fixed resolution and pixel format. Call pygame.Surface() to create a new image object."

For example, if you used screen = pygame.display.set_mode, screen is a surface.

So when using pygame.display.set_icon(surface) you must first import an image as a pygame.Surface by using a = pygame.image.load('image') where a is the variable the surface will be stored and 'image' is the directory to that image. Then you can set a to the icon by using pygame.display.set_icon(surface). You can pass any surface, but it is desirable that it is 32x32.

More information here: http://www.pygame.org/docs/ref/display.html#pygame.display.set_icon

programIcon = pygame.image.load('icon.png')

pygame.display.set_icon(programIcon)

This will set the icon of the Pygame window.