Howto: Place icon in a Wizard dialog?

Being new to MFC, I was happy to read how the SetWizardMode() call of a
CPropertySheet could reprecent a Wizard dialog automatically.

I have one major problem with this build-in shortcut for creating
wizards and that has to do with the icon - or lack there of - in the
application.

Apparently CPropertySheet is a specialization of CDialog WITHOUT the
possebility of setting style for including an icon in the caption area.

I tried:
<CPropertySheet>.SetIcon(LoadIcon(IDR_MAINFRAME),FALSE);

And many other things but neither yields an icon. I am quessing it is
simply impossible to have the icon in a CPropertySheet or what? Is the
solution perhaps to place a CWnd/CFrameWnd as parent of my
CPropertySheet? I should mention that I have tried only .DoModal() and
not the .Create() as I have read SetWizardMode is only valid for a modal
dialog.

Thanks in advance,
Casper