class ChangeTitleIcon {

    public static void main(String[] args) throws Exception {
        File f16  = new File("d:/images/myicon-16x16.jpg");
        File f32  = new File("d:/images/myicon-32x32.jpg");
        
        final List<Image> icons = new ArrayList<Image>();
        icons.add(ImageIO.read(f16));
        icons.add(ImageIO.read(f32));

        SwingUtilities.invokeLater( new Runnable() {
            public void run() {
                
                JFrame f = new JFrame("My Icons");
                f.setIconImages(icons);
                f.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
                f.setLocationByPlatform(true);
                f.setSize(200,200);
                f.setVisible(true);
            }
        });
    }
}

final List<Image> icons = new ArrayList<Image>();
        icons.add(ImageIO.read(f16));
        icons.add(ImageIO.read(f32));