Hi there,
You need to download the ICO plug-in. Go here...
http://www.telegraphics.com.au/sw/
Unzip the file and place the ICOFORMAT file into your "file format" folder (a sub directory of your plugins folder) inside your photoshop directory. The path should be something like c:/program files/adobe/photoshop.....
Restart photoshop and try to do a "save as" and you should see the ICO extension as an option when you save.