Thank you for your answer. While investigating this, I found the example under TraySetIcon, and I noted that my question was not precise enough. I meant to refer to that part of tray, where the program windows are shown, so more to the left. Still, you sent me into the right direction, and I found a solution with GUISetIcon. So, again, thanks, that was a big help!
BTW, in case anyone is interested. I went to the site Converticon to generate the required ICO-file.
Cheers
Autoseek