On wich place of Dialog Box? The best way, You use Static Control (for example, IDC_STATIC1), then it is easy:
GetDlgItem( IDC_STATIC1)->ModifyStyle( SS_ICON , SS_BITMAP | SS_CENTERIMAGE ); //Default style is Icon
CStatic * sbmp = (CStatic *)GetDlgItem( IDC_STATIC1);
CBitmap bmp;
//Make CBitmap You wish
......
GetDlgItem( IDC_STATIC1)->ShowWindow(SW_HIDE ); //To make it working in all cases
sbmp->SetBitmap( (HBITMAP)bmp ); //Set bitmap
GetDlgItem( IDC_STATIC1)->ShowWindow(SW_SHOWNORMAL ); //To make it working in all cases