Currently if you build an XNA game and run it on the WP7 emulator you'll note that once you exit the program, it isn't listed in the main application list like it would be for a Silverlight application. This can make it tough to validate how your icon looks, and makes it impossible to pin it to the emulator's tile-view start screen.
Luckily, Michael Klucher blogged on this subject last month here. Michael points out that by editing the WindowsPhoneManifest.xml, you can change the 'genre' attribute from "Apps.Games" to "NormalApp" to make your game show up in the start menu's full application list. Once you do this you might notice an odd name listed for your game, to update the name displayed in the start menu you'll need to edit the following field in the AssemblyInfo.cs of your XNA project:
[assembly: AssemblyTitle("Hungry Castaway")]
Once you pin your game to the start screen, you'll end up with something like what's on the left in the screenshot below.
The DefaultTile image and title
To set the title and image used for your tile, you'll need to right-click on your XNA project, and click on Properties. On the project properties screen under the XNA Game Studio tab you'll find two fields: Tile title and Tile image. Add a tile image (173x173) to your project, and then select it from the picker - then just type in your game's title. Once your build and run again you should notice your own custom tile once you pin your game to the start screen.
Where to set your custom tile image and tile text