1. Prepare MinGW environment
2. Prepare icon resources such as demo.ico. Icons for Windows XP can be 32x32 or 48x48.
3. Create an rc file, such as demo.rc, the content is as follows
IDI_ICON1 ICON "demo.ico"
4. Use windres to compile demo.rc. (windres.exe can be found in MinGW)
windres -o demo_res.syso demo.rc
5. Use the go tool to compile
go build