Oh. And a little note: You cannot just rename bmp to ico becuase, althouhg some versions of windows will display OK, it is using a bitmap filter to ashow the image, not a icon one. This means that on some versions (w2k & XP), the transparency does not always show. And of course, it is not the corrent way. Just do what the guys above say (import bmp and save ico).
And a couple of icon progs I like: ArtIcons Pro from Ahasoft, and MicroAngelo (umm... who makes that???).