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:

Otherwise search for convert png to ico on google