Making .ICO files with Adobe Photoshop
Download the following Windows package, which you can also get by clicking here:
http://www.telegraphics.com.au/sw/icoformat-win-1.3b3.zip
Now all you have to do is extract icoformat.8bi to your plugins folder in adobe. Now the next time you start Adobe you will have the option to save, make, create, and load .ico files!