Ecco una funzioncina nata da una domanda sul Newsgroup di Vb.Net per generare un file ico da uno bmp.
Public Sub BmpToIcon(ByVal fileName As String)    Dim bitmap As System.Drawing.Bitmap = _        New System.Drawing.Bitmap(fileName)    Dim hIcon As IntPtr = bitmap.GetHicon()
    Dim icon As System.Drawing.Icon = _        System.Drawing.Icon.FromHandle(hIcon)
    Dim stream As IO.Stream = IO.File.OpenWrite( _        System.IO.Path.GetDirectoryName(fileName) & _        System.IO.Path.GetFileNameWithoutExtension(fileName) & ".ico")
        icon.Save(stream)
        stream.Close()
        icon.Dispose()        bitmap.Dispose()End Sub