WinRAR can help you do that.
- Package your hta & icon file to exe;
- In options,
a. select "silent" extract;
b. set extract path;
c. create extract path and then put that icon file there, select icon in this path.
d. set run your hta(c:\your_path\your.hta) after exe file extracted.
(i could not provide more detail because i don't have WinRAR installed right now, it's a common way to add icon for hta.)
Every time user run the exe you created, it will just extract hta, icon to the path you specified, and then run your hta. the exe file will have the icon display, even copy to another computer.
If you get all work done correctly, you will get a exe file with the icon you defined.
BTW, you can also try google: hta exe icon
Good luck!