procedure TForm1.Button1Click(Sender: TObject);
var
  Bmp: TBitmap;
  Icon: TIcon;
  IconInfo: TIconInfo;
begin
  Bmp := TBitmap.Create;
  try
    Bmp.Width := 16;
    Bmp.Height := 16;
    Bmp.Canvas.TextOut(4, 1, '1');
    Icon := TIcon.Create;
    try
      IconInfo.fIcon := True;
      IconInfo.hbmMask := Bmp.Handle;
      IconInfo.hbmColor := Bmp.Handle;
      Icon.Handle := CreateIconIndirect(IconInfo);
      Form1.Icon := Icon;
    finally
      FreeAndNil(Icon);
    end;
  finally
    FreeAndNil(Bmp);
  end;
end;