- download from this site,
- open the zip file,
- find the folder (File Formats) in your computer, in Windows: C:\Programs\Adobe\Adobe Photoshop CS3\Plug-Ins\File Formats,
- copy the file ICOFormat.8bi from zip inside this folder
- open Photoshop
- now, when you want to save a .ico file in the list save as… is also the ext .ico.