setIconImage(new ImageIcon("immagine.jpg").getImage());

JFrame f = new JFrame();
f.setIconImage(getFDImage());

protected static Image getFDImage() {
        java.net.URL imgURL = Main.class.getResource("logo.gif");
        if (imgURL != null) {
            return new ImageIcon(imgURL).getImage();
        } else {
            return null;
        }
    }