Here’s a good tutorial, G. Looks like you don’t need to bother with the .ico image format, using .png instead.
Also, in my limited toying with IconFactory, I think you can make the image in Photoshop to your liking, copy/paste it into a dedicated icon-building app and simply export it in the .ico format.
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http://www.iwalt.com/howto/makeabookmarkicon/>
….and here’s Railhead Design’s tutorial:
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http://www.railheaddesign.com/pages/various/FaviconTutorial. html>