Create a resource file containing the icons you wish to use, then use the Windows API function LoadIcon(), Example:

{$R MYRES.RES}
procedure TForm .Button Click(Sender: TObject);
var
  h : hIcon;
begin
  h := LoadIcon(hInstance, 'ICON_ ');
  Application.Icon.Handle := h;
  InvalidateRect(Application.Handle, nil, true);
end;