Go to your Game Files folder. (The one that shows you all the sub-folders like img, audio, game.project, etc...).
Here, locate the folder that says "icon".
Now, all you have to do is make an art piece that fits the dimension of that original "icon" image file that's already there, and replace it with your wanted icon file.
(I use MV, which for me was a maximum dimension of 128px by 128px).
As far as I'm aware, you shouldn't be able tell if the icon was replaced during playtesting, but once you finish your game and all that, the icon will work after deployment.
Why are you answering an RPG2000-question with RPGMV-stuff?
Yes, it's possible. You can open-up RPG_RT.exe with a tool for executable file resource editing (e.g. ResourceHacker), where you will now see some categories, two of them are ICON and ICONGROUP. ResourceHacker is able to replace resource-data, just use this feature to put another ICO-file in place, then save and there you go.
Replacing EXE-icons is not big of a deal, but since this is an unofficial change of the file for the game-engine (there is no other way), it theoretically could be against license-agreements you signed when buying RPG2000. This is not a legal-advice, ask an expert.
This is a method using a helper program, see working in this video: First download the program through this link: https://www.mediafire.com/file/9ktb9r8azje8elr/Rm2k-Game-Windowed.zip/file Password: RpgMaker2000 I have tested on Windows 8/8.1 and Windows 10, still plan to test on Windows 7...