I just have spent an hour to detect how to create a windows .ico from an existing image.
This time, I document it:
netpbm, which includes
imagemagick which provides
Define original file name and wanted icon sizes
Convert and combine.
Extra: Creating icons without command line
This tutorial describes how to create multi-resolution files with the GIMP: http://egressive.com/tutorial/creating-a-multi-resolution-favicon-including-transparency-with-the-gimp