Save your icon image(s) as .png format, then use this tool to compile them into a single .ico file:
png2ico - PNG to icon converter (Linux, Unix, GNU, Windows, ...)
http://www.winterdrache.de/freeware/png2ico/
The beauty of this tool (and tools like it) are that it can save multiple sizes in a single .ico file so that the destination can display the size that fits best (e.g., if a user enlarges the icon view, the higher resolution size can be displayed instead of the tiny one enlarged for a better quality image).
This is a command-line tool, which is also nice for automation purposes, but also because then you have complete control over what's going on, which is not always typical of GUIs.