SetIcon hwndTarget, "#981", False
   '981 -номер иконки в классических ресурсах содержит 32х32 для отображении в Alt+TAB на Висте

  SendMessage hwndTarget, WM_SETICON, ICON_BIG, hIconLarge
  SendMessage hwndTarget, WM_SETICON, ICON_SMALL, hIconSmall

    FormMy.Icon = My.Resources.MY_ICON

hIconLarge = My.Resources.MY_ICON_32.Handle '->WM_SETICON,ICON_BIG
hIconSmall = My.Resources.MY_ICON_16.Handle '->WM_SETICON,ICON_SMALL

  SetIcon(hwndTarget, My.Resources.MY_ICON, False) 'MY_ICON содержит 32х32(32бит,256цв,16цв)+16х16(32бит,256цв,16цв)

  Public Sub SetIcon( _
   ByVal hwnd As Long, _
   ByVal resIcon As Icon, _
   Optional ByVal bSetAsAppIcon As Boolean = True)

    Dim lhWndTop As IntPtr
    Dim lhWnd As IntPtr
    Dim cx As Integer
    Dim cy As Integer

    If (bSetAsAppIcon) Then
      ' Find VB's hidden parent window:
      lhWnd = hwnd
      lhWndTop = lhWnd
      Do While Not (lhWnd = 0)
        lhWnd = GetWindow(lhWnd, GW_OWNER)
        If Not (lhWnd = 0) Then
          lhWndTop = lhWnd
        End If
      Loop
    End If

    cx = GetSystemMetrics(SM_CXICON)
    cy = GetSystemMetrics(SM_CYICON)
    Dim hIconLarge As IntPtr = New Icon(resIcon, cx, cy).Handle

    If (bSetAsAppIcon) Then
      SendMessage(lhWndTop, WM_SETICON, ICON_BIG, hIconLarge)
    End If
    SendMessage(hwnd, WM_SETICON, ICON_BIG, hIconLarge)

    cx = GetSystemMetrics(SM_CXSMICON)
    cy = GetSystemMetrics(SM_CYSMICON)
    Dim hIconSmall As IntPtr = New Icon(resIcon, cx, cy).Handle
    If (bSetAsAppIcon) Then
      SendMessage(lhWndTop, WM_SETICON, ICON_SMALL, hIconSmall)
    End If
    SendMessage(hwnd, WM_SETICON, ICON_SMALL, hIconSmall)

  End Sub

    Dim IconSmall As Icon = New Icon(resIcon, cx, cy)
    Dim hIconSmall As IntPtr = IconSmall.Handle
    IconSmall.Dispose()
    SendMessage(hwnd, WM_SETICON, ICON_SMALL, hIconSmall)

    Dim IconSmall As Icon = New Icon(resIcon, cx, cy)
    Dim hIconSmall As IntPtr = IconSmall.Handle
    SendMessage(hwnd, WM_SETICON, ICON_SMALL, hIconSmall)
    IconSmall.Dispose()

  Public H_HTMLHELP_large As Icon
  Public H_HTMLHELP_small As Icon
'код вызова
...
    If IsNothing(H_HTMLHELP_large) Then _
     H_HTMLHELP_large = CreateIcon_LargeSmall(My.Resources.H_HTMLHELP, True)
    If IsNothing(H_HTMLHELP_small) Then _
     H_HTMLHELP_small = CreateIcon_LargeSmall(My.Resources.H_HTMLHELP, False)
    SetIcon_LargeSmall(hwndHelp, H_HTMLHELP_large, H_HTMLHELP_small, False)

'код "очистки"
  Private Sub Form1_FormClosed(ByVal sender As Object,
   ByVal e As System.Windows.Forms.FormClosedEventArgs) Handles Me.FormClosed
...
    If IsNothing(H_HTMLHELP_large) = False Then H_HTMLHELP_large.Dispose()
    If IsNothing(H_HTMLHELP_small) = False Then H_HTMLHELP_small.Dispose()
  End Sub

'код ф-ций

  Public Function CreateIcon_LargeSmall(ByVal resIcon As Icon, ByVal large As Boolean) As Icon
    Dim cx As Integer
    Dim cy As Integer
    If large Then
      cx = GetSystemMetrics(SM_CXICON)
      cy = GetSystemMetrics(SM_CYICON)
    Else
      cx = GetSystemMetrics(SM_CXSMICON)
      cy = GetSystemMetrics(SM_CYSMICON)
    End If
    Return New Icon(resIcon, cx, cy)
  End Function

  Public Sub SetIcon_LargeSmall( _
   ByVal hwnd As Long, _
   ByVal the_large_icon As Icon, ByVal the_small_icon As Icon, _
   Optional ByVal bSetAsAppIcon As Boolean = True)

    Dim lhWndTop As IntPtr
    Dim lhWnd As IntPtr

    If (bSetAsAppIcon) Then
      ' Find VB's hidden parent window:
      lhWnd = hwnd
      lhWndTop = lhWnd
      Do While Not (lhWnd = 0)
        lhWnd = GetWindow(lhWnd, GW_OWNER)
        If Not (lhWnd = 0) Then
          lhWndTop = lhWnd
        End If
      Loop
    End If

    If (bSetAsAppIcon) Then
      SendMessage(lhWndTop, WM_SETICON, ICON_BIG, the_large_icon.Handle)
    End If
    SendMessage(hwnd, WM_SETICON, ICON_BIG, the_large_icon.Handle)

    If (bSetAsAppIcon) Then
      SendMessage(lhWndTop, WM_SETICON, ICON_SMALL, the_small_icon.Handle)
    End If
    SendMessage(hwnd, WM_SETICON, ICON_SMALL, the_small_icon.Handle)
  End Sub

    'Форма переопределяет dispose для очистки списка компонентов.
    <System.Diagnostics.DebuggerNonUserCode()> _
    Protected Overrides Sub Dispose(ByVal disposing As Boolean)
        Try
            If disposing AndAlso components IsNot Nothing Then
                components.Dispose()
            End If
        Finally
            MyBase.Dispose(disposing)
        End Try
    End Sub

  Public Sub SetIcon( _
   ByVal hwnd As Long, _
   ByVal resIcon As Icon, _
   Optional ByVal bSetAsAppIcon As Boolean = True)
...
  Dim hIconSmall As IntPtr = New Icon(resIcon, cx, cy).Handle
...
End Sub

  Public H_HTMLHELP_large As Icon
  Public H_HTMLHELP_small As Icon

New Icon(resIcon, cx, cy).Handle

  Public H_HTMLHELP_large As Icon
  Public H_HTMLHELP_small As Icon

'код "очистки"
  Private Sub Form1_FormClosed(ByVal sender As Object,
   ByVal e As System.Windows.Forms.FormClosedEventArgs) Handles Me.FormClosed
...
    If IsNothing(H_HTMLHELP_large) = False Then H_HTMLHELP_large.Dispose()
    If IsNothing(H_HTMLHELP_small) = False Then H_HTMLHELP_small.Dispose()
  End Sub

m_hIml = ImageList_Create(16, 16, ILC_MASK Or ILC_COLOR32, 1, 0)

   ImageList_Destroy(m_hIml )

  Private Sub Form1_Load(ByVal sender As System.Object,
                         ByVal e As System.EventArgs) Handles MyBase.Load
    ' Handle the ApplicationExit event to know when the application is exiting.
    AddHandler Application.ApplicationExit, AddressOf OnApplicationExit
...
  Private Sub OnApplicationExit(ByVal sender As Object, ByVal e As EventArgs)
    DataBaseDisConnect()

    'удаление ImageList-ов
    ImageList_Destroy(m_hImlTV_help)
    ImageList_Destroy(m_hImlTB_help)

    If IsNothing(H_HTMLHELP_large) = False Then H_HTMLHELP_large.Dispose()
    If IsNothing(H_HTMLHELP_small) = False Then H_HTMLHELP_small.Dispose()
...
  End Sub

DataBaseConnect()
ReadSettingsFromRegistry()
ReadSettingsFromIniFile()
GetSystemSettings()
и т.д.

См класс SafeHandle
обрати ещё внимание на GC.KeepAlive...