you can create the design for your icons in photoshop, you just cant save them as a icon. but you can find plenty of free stuff on the web to do that for you.
Actualy im not sure about what im about to sugest, but hoepfully some one here may point us in the right direction. But perhaps you can just save your icon as a bmp and change the extension name, this knida things doesnt normaly work, but worth a try. Any one out there know??