As for myself, I went to vso software site and downloaded a very small program called VSO Image Resizer (download) which can transform images into .ico format. Run the program. It is rather simple to use. While you can create icons in 2 sizes – 16x16 and 32x32 – I would think a 16x16 icon is preferable since it is readable in most older browsers. and safe it under jpg, gif or png format.
If you do not wish to download any software, you may also try creating an icon online. Just enter the keywords “online icon generator” into your Google search bar, and you should be able to find several programs that you can try.