To be fair, I have no idea where I got this from, but it does work. I'm using CS4 right now.
Update:It does work with CS5 and probably CS6
Download the ICO export plugin here.
Feeling generous? Give us a link somewhere on your site linking the words "Minneapolis Web Design".
To install
- Unzip
- copy to a folder called "File Formats" inside the "Plug-ins" folder.
- Restart Photoshop, enjoy.