Photoshop Save As .ico
It is not possible to save as an .ico format in Photoshop. You can install a third party extension which then can do it, but many of these cost money. Only for a very small feature.
A way to work around this is exporting your image to .png and then use one of the free png to ico converters on the internet.
A simple an easy one can be found here: http://converticon.com/
Otherwise search for convert png to ico on google