Create a new file 32 pixels x 32 pixels, enlarge it to about 10x with the magnifing glass tool, this makes it easier to see. Turn on the grid and set it to be 1 pixel x 1 pixel. The grid should now be 32 x 32 pixels wide. Create your icon, save it as a Bitmap. Go to where you've saved it and change the extension from bmp to ico, you will get a warning about changing extensions, ignore it and that's your icon file created.