Now that you have a very basic app. If you click the menu button on the Iphone simulator, you will see the name of your app and above it is a nasty white box. If you want a nice little icon there you can just drag it to the application name root on the left side. For my examples that would be Photoblog. It will prompt you to import it and do so.

Once it is in your project open up the Info.plist file

There will be a row for Icon File. All you have to do is put the file name in there and rebuild and you have a application icon in place.

That was an easy one.