Custom .exe Icons in Captivate 4

I'm trying the option of using a custom .exe icon in Captivate 4. I'm publishing as an .exe. I've tried a couple of .ico files, but when I click Publish, I get an error that says "Icon file is incorrect, proper icon may not be generated. Do you want to continue?" What is a proper icon? Have any of you successfully assigned a custom icon to your published executables?

Thanks.

Oops. Sorry for the double post.