Following is what I use to load small and large icons from a
.ico file. I stripped out a caching mechanism, so it may not
compile as-is. Of course, if you've never used jni you'll have
to figure that out as well.

JNIEXPORT void JNICALL Java_nativ_W32Native_setIconX(JNIEnv *env,
     jclass obj, jobject wnd, jstring icon_path) {
  JAWT awt;
  awt.version = JAWT_VERSION_1_3;
  if(JAWT_GetAWT(env, &awt) == JNI_FALSE)
     return;

  JAWT_DrawingSurface *ds = awt.GetDrawingSurface(env, wnd);
  if(ds == NULL)
     return;

  jint lock = ds->Lock(ds);
  if((lock & JAWT_LOCK_ERROR) != 0) {
     awt.FreeDrawingSurface(ds);
     return; }

  JAWT_DrawingSurfaceInfo *dsi = ds->GetDrawingSurfaceInfo(ds);
  if(dsi != NULL) {
     JAWT_Win32DrawingSurfaceInfo *dsi_win =
         (JAWT_Win32DrawingSurfaceInfo*)dsi->platformInfo;
     HWND win_handle = dsi_win->hwnd;
     if(win_handle != NULL) {
        LPTSTR icon_path_str = (LPTSTR)GetString(env, icon_path);
        HICON icon, icon_sm;
        bool found = false;
        icon = (HICON)LoadImage(NULL, icon_path_str, IMAGE_ICON,
            GetSystemMetrics(SM_CXICON), GetSystemMetrics(SM_CYICON),
            LR_LOADFROMFILE);
        icon_sm = (HICON)LoadImage(NULL, icon_path_str, IMAGE_ICON,
            GetSystemMetrics(SM_CXSMICON), GetSystemMetrics(SM_CYSMICON),
            LR_LOADFROMFILE);
        if(icon != NULL)
           SendMessage(win_handle, WM_SETICON, ICON_BIG, (long)icon);
        if(icon_sm != NULL)
           SendMessage(win_handle, WM_SETICON, ICON_SMALL, (long)icon_sm);

        ReleaseString(env, icon_path, icon_path_str);
     }
     ds->FreeDrawingSurfaceInfo(dsi);
  }

  ds->Unlock(ds);
  awt.FreeDrawingSurface(ds);
}