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Icons in AppleScript Studio are "icns" files containing one or various sizes for the related artwork, from 16 to 128 pixels. This format supports alpha, and uses a combination of the artwork plus a mask to define opaque and transparent areas. You can take a look to a "icns" file simply searching your hard disk for ".icns" and dropping one of the resulting files onto "Icon Composer", usually located under your "/Developer/Applications/Utilities" directory.
There are several available tools to develop the artwork for your icon and save it in icns format. You can combine tools such as Photoshop, FreeHand or even Flash (if you feel comfortable with its tools) to create your artwork, then use some special tools to create the propper icns file with its mask. For example, you can compose and export icons out of Photoshop using the plugin IconBuilder Pro, create them using Iconographer, a high quality editor, Icon Brush, scriptable and recordable, or Icon Machine.
When you finally have your icns file ready to go, follow the steps described in the "Mail Search" tutorial in order to add it to your app: here.
Basically, add your icon to the project, double-click your target's app and place your icon's name (eg, "myIcon" for a file called "myIcon.icns") under the related entry into "Info.plist Entries" simple view. Remember that you must add a unique creator code for your application, following Apple's guidelines: use at least 1 capital character and register it with Apple Developer Connection.