Create ICO files with Photoshop

If you want to make a quality .ico file, download ICO file format for Photoshop. This is a small plugin for Photoshop which lets you create icons.
How to install:
First, download the 32-bit or 64-bit version of the plugin, according to your Photoshop version. You can check it's version by going to Help->About.
Next, go to your Adobe Photoshop directory, usually
"C:\Program Files\Adobe\Adobe Photoshop CS6 (64 Bit)\Plug-ins\File Formats" for 64-bit, and
"C:\Program Files (x86)\Adobe\Adobe Photoshop CS6\Plug-ins\File Formats" for 32-bit. If 'Plug-ins', or 'File Formats' folder doesn't exist, create it. Then paste the appropriate extension in the folder, and you are all set.

Now whenever you have an icon size (multiples by 8, like 16x16, 24x24, 32x32 and so on) you will be able to save the file as .ico.

If you have any suggestions, or problems, leave them in the comments.