Making icons for Mac/PC

Does anyone know a quick/painless way to make icons for PC/Mac? I’m doing a cd-rom for my portfolio and would like the exe files to have an icon. I have done it before but this was like a year ago and i can’t remember what my teacher said (of course i didn’t take notes, way to be lazy).

Thanks in advance to anyone who can help me out.

I believe on a PC you can rename .gif’s to .ico’s.