I spent several hours Googling for a free utility to combine several Windows icons into a single .ico file, and when I finally got frustrated enough to give up and write my own, it took about an hour. So here is a very crude Windows app to dump several icon files together. It's called "Combine Icons" so that y'all will have better luck Googling for it than me. Note that this program does nothing more than combine several .ico files into one. It does not let you edit the icons in any way; for this you should use some real graphics program.
It might seem kinda silly to use Visual Studio to write an app to combine icons when Visual Studio seems to offer icon editing functionality. Here's the problem I ran into: Visual Studio will, indeed, let you create multi-image icon files (useful for including multiple resolutions and bit depths), but only with the default palette or a palette that you load into Visual Studio. If you have, for instance, a 16-color image with a custom palette and want to include it in an icon file from within Visual Studio, the only way to get it into the file is to copy and paste, at which point the image will dither to the active palette The only way to set the active palette to the palette used in the image is to load a palette file, which is apparently a proprietary file format used only by Visual Studio. Chicken and egg.
So this code will let you lump together several single-image icon files dumped from some real graphics app like Photoshop (using these people's lovely plugin) or GraphicConverter. Probably, if you have Photoshop and are going to be doing a lot of icon editing, you want IconBuilder or something similar. But maybe you're trying to do things on the cheap, or you feel guilty always being the guy at work asking for new software. Then download and enjoy.
Oh, I should mention that the folks that make the .ico plugin have a similar utility for Mac and DOS, but the DOS one bombed on my XP machine and I didn't have my Mac at work with me.
(Requires MS .NET Framework. If you have a newish computer, you have this. If not, you can get it from here.)
(This program might explode your computer. It doesn't try to, but use it at your own risk.)
I wrote Combine Icons at work, and it's bare-bones and Windows only. For fun, I rewrote it at home in Java, added image previews and some cleanup of incorrect InfoHeaders, and called it Icollator. You really want Icollator instead.