Thank you codetiger, you are great...
i just would like to note a small difference for the Netbeans 5.5.1:
1) Right click the project and select the 'Properties' tab.
2) Goto 'MIDlets' tab under 'Application Descriptor' and you'll see the midlets added
3) There you can find a column called icon. you need to give the path for the image file to be used as icon for each midlet
Thank you again.