您需要修改注册表项。
如何处理c＃的代码片段可以在这里找到：
http://mel-green.com/2009/04/c-set-file-type-association/

In my application I create files with extension .mprj.

How can I assign an icon to this type of file?

Does appropriate .Net methods exist?

you need to modify registry entries. A code snippet how to do with c# can be found here: http://mel-green.com/2009/04/c-set-file-type-association/