what you want is a resource only dll. when you start a new project theres several options (empty project,export symbols,..) select resource only. This strips alot of the startup code normally found in a dll. Since you wont be using it for code you dont need it and it saves a bit a space.
to actually add the icons go into RE (resource explorer) right click and select add new. in the dialog click import (might have to drop down the types box to ico). locate the icon you want and your good.