Question: Im trying to use installshield to mak an installer for my applicatoin but when I add my icon to it then when i try and build it i get the error message InstallShield: cannot extract icon with index 0 

Any ideas?

Answer: 
Sure. InstallShield is trying to extract the embedded resource (icon) for Add/Remove Programs and/or a shortcut. Recompile your EXE to include an icon and the message will go away.
I faced something similar. 
You need to check that the exe from which the icon will be extracted is present on the path specified in Shortcut/Folder of Install Shield