I'm not sure if you misunderstood me or just didn't read my post. The problem is not with shortcuts, I have already pointed them to favicon.ico, the problem is with the .exe file itself. The .exe file does not have any icon and since it is a compiled executable I don't really know how to add an icon to it.
Of course I read the post.
In post #1 You say "I always get the wrong icon
in the start menu" and start menu contains
shortcuts. (In post #1 You don't say anything about the .exe file itself.)
Using another file for the shortcut icon usually fixes it (by using another/new place in Iconcache).
And how you can say that "The .exe file does not have any icon" (?) after it is clearly shown in my screenshot?
(and now you know the icon
is/was there in the .exe itself (visible to you after renaming the file and this way using new place in Iconcache))
Get this small program:
IconsExtract v1.47 (only 33 KB .zip)
http://www.nirsoft.net/utils/iconsext.html
It allows you to view/extract (save as .ico) icons from EXE/DLL ... files.