You can use code like this. I known for a fact it works in sugarcube. It should work in harlowe, too. As a note, you should always state the story format and version of it when asking a question.
$(document.head).append("<link rel='icon' href='url/to/image.png'>");
I'm pretty sure the 'boring box' icon in the downloadable app is the NW.js icon; NW.js is the browser shell the app runs in.