mariosatr I made the icons themselves in Photoshop. I always make icons larger than they actually need to be just to make sure all the little details look as good as possible-
for instance- my TF2 and Cobalt* ones
Then I convert them from a PNG image file to an ICO file using a online file conversion site. The site I used to use is actually no longer active- so I'm I'll have to find a new one if I need to update anything. >.>
*on an unrelated note I have no idea why I still have Cobalt on my desktop considering I never play it...
EDIT: If you guys want a free one- here is an old MC logo I used to use before I switched over to the round ones
http://i50.photobucket.com/albums/f341/El-Ben-Zo/Minecraft.png
The file itself is actually pretty huge haha. Like I said, I like to make them bigger than they need to be. You'd have to convert it to an ICO yourself though.