I hunted the web. I found lots of really old threads. There was much question as to how you could make your own blender game exe icon, so you can have your own icons on your shortcuts and stuff.
I tried many programs that failed because they claimed the blender player was a compressed executable, and one couldn’t adjust it’s icons.
So, instead, I found a .bat to .exe converter instead. The 64 bit version didn’t work, but the 32 bit version worked after I disabled windows defender.
To make a .bat, make a text file, call it whatever.bat edit it, and put whateveryourgameiscalled as the only text in it.
(make sure you actually change the extension, not just create a file called whatever.bat.txt )
Also: I’m on windows, so I used IcoFX to make my icons. You can also use gimp.