There is a little program called easypicture2icon which can take all kinds of images and convert them to icon format with several different dimensions (64x64, 48x48, 32x32, 16x16). So you can use Paint.NET to edit the icon image and convert to .ico with this little tool.
However, I would recommed you to try Photobie, another free .NET image editor, which allows you to save image to ico format with above dimensions.
Furthermore, it has very nice autoscroll screen capture tool. It is at least a good compliment to Paint.NET