How do I programmatically set an image as Form’s Icon ?

You could do so as shown in the code below :

[C#]
  Form form1 = new Form();
  Bitmap bmp = imageList1.Images[index] as Bitmap;
  form1.Icon = Icon.FromHandle(bmp.GetHicon());

[VB.NET]
  Dim form1 As Form =  New Form()  
  Dim bmp As Bitmap =  imageList1.Images(index) as Bitmap  
  form1.Icon = Icon.FromHandle(bmp.GetHicon())

Please refer to the sample attached here that illustrates this.