Yes.
First you need to add the icon file to the project and in
"Properties" Toolbar->"Build Action" property you need to set it as "Embedded Resource"
After that, in your code, you do the following:

Icon = new Icon(Assembly.GetExecutingAssembly().GetManifestResourceStream("youricon"));

where "youricon" is in following format: "projectname.youricon.ico".

I am using it frequently and it works fine for me.
Please let me know if you still need some help on that!

Good Luck,
Andrey