Set same icon for all my Forms

One option would be to inherit from a common base-Form that sets the Icon in the constructor (presumably from a resx). Another option might be PostSharp - it seems like it should be possible to do this (set .Icon) via AOP; not trivial, though. Finally, you could use a simple utility method (perhaps an extension method) to do the same.

Best of all, with the first option, you could probably risk a Ctrl+H (replace all) from : Form or : System.Windows.Forms.Form to : MyCustomForm.

In additional to Marc's recommendation, you may want your forms to automatically inherit the icon of the executing assembly that contains/calls them.
This can be done by adding the following code to your inherited form:

public MyCustomForm()
{
    Icon = GetExecutableIcon();
}

public Icon GetExecutableIcon()
{
    IntPtr large;
    IntPtr small;
    ExtractIconEx(Application.ExecutablePath, 0, out large, out small, 1);
    return Icon.FromHandle(small);
}

[DllImport("Shell32")]
public static extern int ExtractIconEx(
    string sFile,
    int iIndex,
    out IntPtr piLargeVersion,
    out IntPtr piSmallVersion,
    int amountIcons);

1. In the project properties > Application > Icon and Manifest > browse for a *.ico file and add it there.

2. In the constructor or _Load event of a Form, simply add:

   this.Icon = Icon.ExtractAssociatedIcon(Application.ExecutablePath);