There are different dimensions for taskbar(big icons, small), desktop, start menu, etc. What are all dimensions one needs for a Windows application? And is there a way to put them all into a single file?
I have already designed the icon in Photoshop.
Well, the desktop alone can use almost any standard (Joey named most, if not all, of them) size.
I find it works well to combine 16×16, 32×32, 48×48, and 256×256 (and maybe more sizes) into one .ico file. I use IcoFx, and it is super easy to create multi-size icons from one 256×256 image.