This is how to do it. I am not surprised that an MFC icon was not present. So this leads to something else. Possibly you have any programs that allow for customized icons like WindowBlinds (or associated programs), or have you made any modifications to your Windows files in order to have a custom look? Usually, if you end up with the "wrong" icon, you can get the pre-loading "default" icon that would appear before Desktop loads the correct icon, but unless your OS' default icon was changed to the MFC "blocks" icon, it shouldn't show up with that.