Ok here it is the same program but with an icon. I just added a minor changes which are commented:
include \masm32\include\Windows.inc ; full relative path.
uselibs macro libs:vararg
for nlib,<libs>
include \masm32\include\nlib.inc ; full relative path.
includelib \masm32\lib\nlib.lib ; full relative path.
endm
endm
And:
mov wc.hInstance,eax ; save for later
inv LoadIcon,eax,600 ; Get the icon.
mov wc.hIcon,eax
Now can be easier to others to assemble it. :icon14: