You may want to ask this question in jbuilder forums (http://support.borland.com/forumindex.jspa), as this forum itself is for "Sun Java Studio Enterprise" product.
In java itself, the setIconImage method can be called on the frame to set the frame's icon:
http://java.sun.com/j2se/1.5.0/docs/api/javax/swing/JFrame.html#setIconImage(ja va.awt.Image)
Example: http://www.javareference.com/jrexamples/viewexample.jsp?id=74
How this feature is supported in different ides will vary with the ide...