Hi
Never mind, in my research looking for the program I discovered that there is a plugin that lets you save .ico files in Adobe Photoshop.
Works great, just create your image the way you always did, size it to an appropriate size for and icon, (the size of the file doesn't change the size of the icon, just the resolution), and if you make it too big it won't work.
When you are done just go to save and select .ico as the file type.
Here's the link to the plugin for anyone having Photoshop, I know it works with CS2.
Make Windows Icon Files With Photoshop
Mike