Not a silly question at all
Rick, since I use Photoshop too to make icons (mostly for application development), but in my case I use Axialis Icon Workshop;
http://axialis.com/iconworkshop/features.html
..which also installs a Photoshop plugin that allows me to export any Photoshop image directly to this program.
But I know by now that you prefer free (who doesn't?

), so I did some research and found a program called BMP2ICO:
http://www.asbafo.net/progz/bmp2ico.html
Don't worry about the Italian, the program is in English; just click on the yellow button at the bottom of the page or download it here;
http://www.asbafo.net/progz/bmp2ico25.zip
It's only 160KB. Inside the ZIP is a file called bmp2ico2.txt, which contains a short explanation in English.
No need to install the program, it's just a single executable.
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I tested it and opened a file in Photoshop. I resized it to 48x48, but 32x32 pixels is also possible, but you have to resize to either one of the two, other sizes are not possible.
If you resize, make sure that you select for
Resample Image interpolation "bicubic sharper" (only available in PC CS).
The next thing you have to do is converting the RGB image to
Indexed Color; Image/Mode/Indexed Color. Select for Palette 'system (windows)', click ok.
All these steps will avoid the error message as marked in my attachment.
Now save the file as a BMP, open it in the BMP2ICO and save it as an ICO.
Let me know if works for you Rick, good luck
