I ran into an issue the other day where I wanted to use one of the default icon set images for my new Windows Phone app. I followed the guides online and took the images from the Windows Phone SDK on my computer and pasted them into my project.
However, every time I ran my project I noticed the image was not displaying. I would just get a nice looking X in a circle (I guess it's the new "red X"!). To resolve this issue you need to right click on the icon(s) you want and select Properties. When the Property window opens change the Build Action to Content. For me, this was defaulting to Resource and was the reason that the image would not appear for me in the application bar.