First of all, you're going to need an image in either .png or .jpg format. Make it perfectly square, and make sure it'll look good at various sizes, as Windows will make it bigger and smaller depending on whether it's in your taskbar, start menu, or file hierarchy.
Next, take that image to ConvertIcon.com. Upload it and then export it as a .ico file.
Note: .ico files have pages which store various sizes of the install icon for various uses. Download your .ico from ConvertIcon in all of the sizes offered and you'll be sure that your game will stand out no matter where it's installed.
Now go into your UDK hierarchy. You're looking for:
In here you'll find a .ico file called GameIcon. Reserve it someplace else in case you want it back later, and replace it with the one you just made with ConvertIcon, making sure to rename it "GameIcon"
When you cook your game, the UDKInstall will still have the same icon it has always had, but when the game is installed on the hard drive, it will have whatever logo you dropped in there.
Download and install Helios to check out our cool custom icon!