How to create a high quality icon for my Windows application?

Thanks for all the suggestions!

After much trial and error the real problem here seems to be the Visual Studio 2008 Setup Project - manually setting up a link to my executable correctly uses the high resolution icon, however the link that is created by the setup doesn't use the correct icon. When setting the icon for the link in the editor it only gives me one option (index 0) which seems to be the 48x48 icon. I have tried manually adjusting the IconIndex in the .vdproj but had no luck. It seems that Visual Studio Setup Project does not support adding a link using a high quality icon.

EDIT: I can now confirm this problem. Once I moved to WiX to create the installer the link used the correct high quality icon.

This might give you some tips http://www.axialis.com/tutorials/tutorial-vistaicons.html

Try enlarging your icons (Ctrl+MouseWheelUp) to a massive size and see if Windows picks up the larger icon, this will work even on standard DPI screen. (I use really really really large icons myself).

If using massive icons still only displays the lower resolution one, then it's a problem with the ICO file. Our graphic designer outputs icons containing 256, 64, 48, 32, 24 and 16 pixel sizes, each in True Color, 256 color and 16 color and that's working fine here on Win7 x64