You want to display your own icon on an application Frame Window but the only options are to have no icon, a blank space or a couple of simple default icons.
GUI Design Studio was designed to allow elements to be layered on top of each other to construct the desired result.
The solution here is to select "Blank" for the Icon then simply place your own icon on top of the Frame Window caption bar.
You can create a new icon from within the Icons panel in GUI Design Studio or, if you have an existing ICO file, you can copy this into the "_Icons" folder in your project (create the folder if it doesn't already exist) to have it appear on the Icons panel.
Then drag and drop the Icon into the blank space on the Frame Window caption bar and position it as required.
If you're using GUI Design Studio version 4.2 or above (Professional or Express editions) then you can also set Top and Left (or Right, if mirrored) Resize Anchors on the Icon to keep it in place if you resize the Frame Window from the top or left sides.
Attached is a very simple example ("FrameWindowIcon1.gui") using a book icon from the standard Toolbars icon set: