Well, there are 3 possibilities:
1) Render your scene in 3D Studio or in Blender and use the icon editor just to make an icon from the image. You should get good results, because rendering in 3D Studio is has a better quality and it is easy to remove empty borders and enhance icon edges with shadow in RWIE.
2) Reference the 3ds file from a Rendered Image, then set the camera, lights and render with RWIE. The 3ds support is not 100% - for example textures are ignored and some transformations may not be correct.
3) Turn a 3ds into u3d. I would not recommend it. Triangle mesh editing kind of sucks in the current version of u3d. You will need to install the original Unicorn3D for this task ( http://unicorn3d.rw-designer.com/Unicorn3D.msi ) - open the 3DS file there and then choose Save as and select Unicorn3D format AND also manually change the extension of the filename to .u3d in the save dialog. Expect the open and save actions to take considerable amount of time if there is a lot of triangles in your 3d models.