To convert a ‘normal’ image (such as jpg, png, bmp, tiff…) to ico, you can use an ico editor such as IcoFX.

However, if you don’t want to use a dedicated installed program, you can use an on line converter.

Note, however, on line converters won’t let you edit you ico image, to define transparency for example.

To have maximum control over you conversion and the final ico file, download and install an ico editor.