You need to save as .ico format. I use Iconographer to create them. The file contains multiple resolutions and bit depth images i.e. 128x128, 48x48, 32x32, 16x16 in 32 bits, 8 bits, 4 bits, 1 bit
I used to use Iconographer, then I got sick of it and now just use a fantastic program called "Can Combine Icons". It's designed for making composite icons (like folders with little badges, or discs with icons), but you can produce icons from image files (PNG or PSD or any other alpha-transparency capable format) without any effort.
It's well worth whatever it costs.