trying to see a warning icon when validating

I am validating a field and I want to display a warning icon. I added a rule and in the rule I do:

e.Severity = RuleSeverity.Warning;

However, after the severity is set, I don't see any icon. But, if I do

e.Severity = RuleSeverity.Error;

Then I get a red 'X' icon. How do code it so that I see a warning icon instead of the error icon?