I assume you are trying to set the icon of a command-line application. This isn't possible. Only desktop applications have icons. Console applications have no window, hence no icon. You can specify an icon when you create a shortcut to the application (eg during setup) but that has nothing to do with the application itself.
Visual Studio 2013 contains only an F# console application. If you want to create a WPF application you should use a different template like Daniel Mohl's F# Empty Windows App template.
The template doesn't provide the same project settings as a C# WPF project, but you can use all WPF mechanisms to set the icon, eg. by storing the application's icon in the Resources, setting a Window's Icon property etc