Creating icons (.ico files) inside Photoshop is not supported by default.

With this small yet easy to use plugin it is possible to import and export them with Photoshop.

Photoshop Icon Plugin

In addition to Adobe Photoshop, the plug-in can work with Elements, AfterEffects, Premiere, PhotoDeluxe, Corel PhotoPaint, PaintShop Pro, Painter, and Photo.

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