The easiest way (without using a special program like "microangelo) is to save your jpg as bmp and them simply rename the .bmp to .ico (ignore the warning that it could destroy the file  )
And don't forget to resize it to a very small size before doing it (32 for XP and 48 for vista icons) 

*edit* i just found a free software on zdnet, a trustworthy german site (the software is english though  )
http://www.zdnet.de/downloads/prg/9/6/en10499596-wc.html

Some graphic programs support exporting or saving as icon files as well. Take a look around on your machine, especially at software installed with digital cameras and the like... You might already have something installed that will do it for you.