Have a look at the "General Interface Settings" section of the MUI docs.
For the icon, use:
!define MUI_ICON "C:\path to\your icon\icon.ico"
If you need to change the header icon, use:
!define MUI_HEADERIMAGE
!define MUI_HEADERIMAGE_BITMAP "C:\path to\your header\header.bmp"
Both of these get inserted in your script before any pages are inserted.
Other options are available as well. They're all in the MUI docs. Have a look at the example scripts as well.
You might also want to see how these things are done in a stock NSIS script. Info for this is also in the exmaple as well as the general NSIS help files.