How to use several icons for the same app?

Add some new image types to your icon.
Open the icon for editing.
Choose "Image|New image type..."
Add a 16x16 icon
Edit the icon
Compile...

One ICON can have the same ID but different resolutions (16x16, 32x32....)
Resource editor - image menu point, Current Icon Image types / new image type / delete image type

I may not explained my self well.
I know how to add more icons to my project.
What I don't know is how I can make icon1 to be display on the taskbar when my app is running and icon2 to be used for the icon on the exe file and shortcut file on my desktop

You haven't to add more icons.
You must add more image types to the same icon (IDR_MAINFRAME icon)

On Windows, each icon can have many sizes and colour depths of the same image as part of a single icon resource. If you use a decent Icon Editor (e.g. icofx: http://icofx.ro/) then you can easily see which sizes and colour depths are in a given .ICO file, and add more as necessary. IcoFX will even base the new ones off the old ones, so you can start with a 16x16 icon which is an auto-resized version of the 32x32 (or vice-versa) and then tidy it up if that's easier than designing one from scratch. The colour-depth support allows you to have nice shading for the 32-bit colour version, but use blocks of solid colour for those people who still use 256 colour displays.

The standard icon sizes are 16x16, 24x24, 32x32. I think Vista can use 64x64 in some cases too. If you provide all the sizes in the same ICO file then Windows will pick the appropriate one for where the icon is to be displayed.

alb66 : OK, I understand the point but I don't know exactky what to do.
"Open the icon for editing" - Double Click the icon so on the main window I will see the icon where I can change it?
"Choose "Image|New image type..." : I don't have this option ( Visual 2005 ). I can add another icon but this is not what you ment.

Please explain

I don't know vs2005 menus.
In VS2003, when you edit an icon" there is the menu "Image" and the item "New Image type..."; the same item will appear in the editor context menu (right click).

To repeat myself
Resource editor - image menu point, Current Icon Image types / new image type / delete image type

If you select the current icon image type then you can select which resolution to modify

alb66 : Thanks, I found it. But I am trying to add 24 or 32 bit image and when i try to create a new image, the available options are 32x32 256 colors.

Please advice