this plugin is free. and it allows you to use photoshop to save files in .ico format so you can use them as icons.
simply download this freeware plugin
unzip
place the 8bi file into your photoshop plugin/file formats folder
load photoshop
create new file
now you can save it with .ico extension.
of course try keep your icon files under 64×64 🙂
Pure-Essence.Net 
neat! thanks dodo 🙂
thanks for the link dodo! 🙂
Cool plugin — thx!
Ah, now I no longer need to use the web based favicon editor to do my icons. 😛 Thanks so much!
Oooh! Thanks for the link Dodo! 😀 It helped a bunch!