The GIMP can do this pretty well. Though I usually just make my own in GIMP, I've never tried to convert jpg over. You could try to just open it with GIMP then do a save as... then use .ico, it should bring up a dialog asking which type of icon to use.

hey..Thanks a lot...I am going to check it out right now

Hello,

I use an online tool available at iconshock's website, it's free to use (you can find it here. It lets you create the ico in a combined version (the one that lets you have all the sizes) and change the background color if you need to. It's nice because you don't have to download anything and it's easy to use ^^ I hope it's useful to you.