Just in case you don't have it, here's a plug-in for Photoshop so you can make ICO files.
http://www.telegraphics.com.au/sw/#icoformat
The image has to be 64x64 or smaller square in order to save it to that format.
Also, the king of icon editors is Microangelo Toolset. You can pull icons from other files and muck with them, and a lot more.
http://www.microangelo.us/