diff --git a/Makefile b/Makefile
index 8be09363ea..d689f512ec 100644
--- a/Makefile
+++ b/Makefile
@@ -616,6 +616,10 @@ endif
 ifdef USE_HOMEDIR
 CDEFS += -DUSE_HOMEDIR
 endif
+
+ifdef ICON_DIR
+CDEFS += -DICON_DIR=\"$(ICON_DIR_PREFIXED)/\"
+endif
 endif
 
 ##############################################################################
diff --git a/media/openttd.32.bmp b/media/openttd.32.bmp
new file mode 100644
index 0000000000..e388628fb6
Binary files /dev/null and b/media/openttd.32.bmp differ
diff --git a/sdl.c b/sdl.c
index 5a5ca791de..f6474b6e10 100644
--- a/sdl.c
+++ b/sdl.c
@@ -54,6 +54,11 @@ static const char sdl_files[] =
 	M("SDL_VideoDriverName")
 	M("SDL_ListModes")
 	M("SDL_GetKeyState")
+	M("SDL_LoadBMP_RW")
+	M("SDL_RWFromFile")
+	M("SDL_SetColorKey")
+	M("SDL_WM_SetIcon")
+	M("SDL_MapRGB")
 	M("")
 ;
 #undef M
diff --git a/sdl.h b/sdl.h
index 8faa850242..9fe3740953 100644
--- a/sdl.h
+++ b/sdl.h
@@ -41,6 +41,11 @@ void SdlClose(uint32 x);
 		void (SDLCALL *SDL_VideoDriverName)(char *, int);
 		SDL_Rect **(SDLCALL *SDL_ListModes)(void *, int);
 		Uint8 *(SDLCALL *SDL_GetKeyState)(int *);
+		SDL_Surface *(SDLCALL *SDL_LoadBMP_RW)(SDL_RWops *, int);
+		SDL_RWops *(SDLCALL *SDL_RWFromFile)(const char *, const char *);
+		int (SDLCALL *SDL_SetColorKey)(SDL_Surface *, Uint32, Uint32);
+		void (SDLCALL *SDL_WM_SetIcon)(SDL_Surface *, Uint8 *);
+		Uint32 (SDLCALL *SDL_MapRGB)(SDL_PixelFormat *, Uint8, Uint8, Uint8);
 	} SDLProcs;
 
 	extern SDLProcs sdl_proc;
diff --git a/video/sdl_v.c b/video/sdl_v.c
index 373009bc8f..275db9dba4 100644
--- a/video/sdl_v.c
+++ b/video/sdl_v.c
@@ -161,15 +161,36 @@ static int GetAvailableVideoMode(int *w, int *h)
 
 extern const char _openttd_revision[];
 
+#ifndef ICON_DIR
+#define ICON_DIR "media"
+#endif
+
+#ifdef WIN32
+/* Let's redefine the LoadBMP macro with because we are dynamically
+ * loading SDL and need to 'SDL_CALL' all functions */
+#undef SDL_LoadBMP
+#define SDL_LoadBMP(file)	SDL_LoadBMP_RW(SDL_CALL SDL_RWFromFile(file, "rb"), 1)
+#endif
+
 static bool CreateMainSurface(int w, int h)
 {
-	SDL_Surface *newscreen;
+	SDL_Surface *newscreen, *icon;
 	char caption[50];
 
 	GetAvailableVideoMode(&w, &h);
 
 	DEBUG(driver, 1) ("sdl: using mode %dx%d", w, h);
 
+	/* Give the application an icon */
+	icon = SDL_CALL SDL_LoadBMP(ICON_DIR PATHSEP "openttd.32.bmp");
+	if (icon != NULL) {
+		/* Get the colourkey, which will be magenta */
+		uint32 rgbmap = SDL_CALL SDL_MapRGB(icon->format, 255, 0, 255);
+		SDL_CALL SDL_SetColorKey(icon, SDL_SRCCOLORKEY, rgbmap);
+		SDL_CALL SDL_WM_SetIcon(icon, NULL);
+		SDL_CALL SDL_FreeSurface(icon);
+	}
+
 	// DO NOT CHANGE TO HWSURFACE, IT DOES NOT WORK
 	newscreen = SDL_CALL SDL_SetVideoMode(w, h, 8, SDL_SWSURFACE | SDL_HWPALETTE | (_fullscreen ? SDL_FULLSCREEN : SDL_RESIZABLE));
 	if (newscreen == NULL)