This is not an Explorer but the Shell subsystem. If you do it correctly, every software product using Shell API will show icons correctly.
All you need is to create a correct icon and use it at least in two places: application icon and main windows icon (in principle, the icons for different windows and application icon can be different).
The icon is a multi-page resource. In a single ICO file you can place several images of different sizes. Shell normally assumes you implement 16x16 and 32x32 images, otherwise Shell will try to re-sample the images to fit Shell UI with results which can look ugly.
I would recommend using freeware IcoFX:
http://en.wikipedia.org/wiki/IcoFX[
^],
http://icofx.ro/[
^].
—SA