I found how to do it partially after googling many web pages. I do not know the mechanism of icons in Debian or Ubuntu system. So, I hope somebody give me links explaining it.
I copy a appropriate icon from internet to /usr/share/pixmaps/desktop.png. And, I went to /usr/share/applications directory. I copied one of .desktop files to rdesktop.desktop. Since I didn't know how .desktop entry works, I just tried several times. And I got finally one works
Comment=linux command for remote desktop
I also tried to get different icons for each rdesktop because in many cases I got confused which ones for what. But I couldn't make it. If I get understood how the icon system works in Ubuntu, I will write a thread about icons.
It is funny to me that I couldn't find any good help for this simple issue. Don't you need icons for some applications that do not comes with icons such as rdesktop? Thank you for you guys help all the time.