Starting with Firefox 1.5, Thunderbird 1.5, and XULRunner 1.8, you can specify an icon for a XUL window by putting files named mywindow.ico (for Windows) and mywindow.xpm or mywindow16.xpm (Linux), where mywindow is the id of the <window> you want to attach the icon to, in the chrome/icons/default subfolder of your bundle.
These icons will override the global icon files, which are located in app_dir/browser/chrome/icons/default.
Note: The global icons override does not currently work due to bug bug 543490. Global icon files currently take precedence and bundles are only searched for icons which are not provided by the application.
Starting with Firefox 3.0, XULRunner 3.0, Thunderbird 3.0 and SeaMonkey 2.0 you can now specify PNG format icons instead of XPM format on Linux. You can specify up to 4 different sizes of PNG icons using the suffixes .png, 16.png, 32.png and 48.png.
Older versions
To support older applications, such as Firefox 1.0, you need to copy the icons to app_dir/chrome/icons/default manually on the first start (example code).