If you're using MSVC, start a new empty project, add a new resource, choose ICON, and open it in the editor. You can import bitmaps of regular icon sizes. Use the resource editor to paint the pixels you want to be blank--they will appear in a reserved color. In the resource editor, you can add new 16x16, 32x32, and other sizes, in multiple color depths; the OS will select the most appropriate for the display driver.
If you're creating ICO for use on the Internet, keep it simple. Have a look at a simple Internet icon <
http://ourworld.compuserve.com/homepages/r_harvey/asciicat.i co> as a starting point (you can't use that one!). Then put a tag on your HTML page something like this:
<LINK REL="SHORTCUT ICON" TYPE="image/x-icon" href="my.ico">