So creating an icon means drawing an image in several sizes and color depths. It is recommended that all Windows icons have a 256x256 @ 32-bit page, from which the other pages are derived. The most important image formats include:
Tip: Start designing your icon prototype in a size even bigger, possibly as big as 1024x1024. Keep in mind that lowering the resolution is always an option.
Nowadays all color depths other than 32-bit are practically deprecated. 1-bit and 16-color icons were used in the past to support low color depth video cards. You can still create 16-color icons for the Windows OS by using only the 16 system colors - those which comprise the two topmost lines of the default swatch preset.
The newly created icon may have pages with the same size and color depth. For example, there is no such icon format in GFIE as 16x16 @ 24-bit, since that page has 256 pixels and that means at most 256 different colors. GFIE recognizes this and that page is displayed as 16x16 @ 256 colors. You should manually remove the duplicate pages to avoid redundancy.
See this article.