For Windows Vista and up, you need at least these icon resolutions:
Getting at them, I usually start with an EPS file, then downscale to the right resolution, and save the resulting files as PNG images, then assemble those together.
A while ago, I had some icons with nice long diagonal line, then I found out the hard way I should not have used ConvertICO.org. I often prefer on-line tools over off-line, especially for actions I rarely do (this is one of them). It saves you from installing software, and on-line sites usually get better over time.
In this case, I shouldn’t have gone online: Just look at the jagged edges in the 200% zoom below: the image on the right is from ConvertICO.org, on the left it is from IcoFX.
What you clearly see is that ConvertICO messes around with the 256×256 image (it doesn’t mess around with the other resolution), but IcoFX doesn’t mess around.