Hey peoples, Windows icons are saved in .dll's these are libraries of thousands of .ico icons.
make a copy of the .dll library you want. These are usually found in C:\Windows\System32
Make a folder somewhere where you want to work. paste the dll in the folder and rename it to .zip. That's right it is essentially a zip file full of .ico files. When I mean full i mean thousands! All of various sizes and shapes.
If you want to rasterize one first or use direct or indirect with rocket dock you can open the .ico in GIMP and save it as a .PNG but in the case of this tutorial posted online I think most of you will want to go the other way from .png to .ico
However if you want to save an icon from somewhere and you cannot right click 'save as' or what ever, you can do a nasty thing like take a screen shot (print screen) and then crop it in paint, save as PNG, then open in GIMP and then select by colour or select by fuzzy-select and then remove certain attributes or (junk you don't want) and then clean it up and save it as either a .ico file or .PNG?
As my father would say 'Son there's many ways to skin a cat' (nb. To all now offended 'cat-lovers' usage in the line above is communicated as a metaphor and has no direct relation to what is actually said)