You're probably using an icon image that's too small. For example on screens with high resolutions, or desktop icons where you have not included a large enough size.
An .ico file contains various images for different uses. 16, 24, 32, 48, 128, 256, (And now 512) are the common sizes... You need to include all of the sizes in the final file that you intend to use.
Which is why I'm hoping they will add support for 512, as that has now become necessary...