tl;dr

1. Open gimp
2. Create new 32 px / 32px image, paste there your icon (you may need to rescale it with Tools->Transform tools -> scale) or draw whatever you want. You may want to open a toolbox with Ctrl + B.
3. Set image to use indexed pallette with maximum of 16 colors
4. first colour of bitmap would be transparent when rendered on NDS menu, so set it as first in “colors->map->rearrange map”
5. Save in .bmp format BUT you MUST check the “compatibility options” -> “do not write color space information”
6. In your projects’ Makefile fill GAME_ICON property with path to your icon
7. Build your nds project, put it on R4 or something else and enjoy

detailed:

1. Srsly
2. File -> New, then in window which appears set width / height. No need to change anything in “Advanced options”.

Drawing something ugly:

3. Image -> Mode -> Indexed. Set max colours to 16. Again, no need to change anything else.

4. As I said, choose whatever color that would be unique (you don’t use it in your icon to draw something) – it will stand for the transparence layer. I have arbitrarily choosen this red-pinkish color. Now you have to arrange it to be the first color in the icon palette.

Do this by Colors -> Map -> Rearrange colors map.

Just drag and drop your color to the first place:

5. Ctrl + E, name it as something.bmp, click Export,

Click Export again.

6.

That’s it, finished, you can now build your .nds file with custom icon.