There is a Photoshop exporter but it is not good at all. I think Gimp can export ICO's.
I, myself, make the image and the image mask (with Paint or something) then I put it together using this: http://www.blitzbasic.com/codearcs/codearcs.php?code=2141
I, myself, make the image and the image mask (with Paint or something) then I put it together using this: http://www.blitzbasic.com/codearcs/codearcs.php?code=2141