I think we need to ask him what version of DBPro he is using.
From what I've read on the forum about .ico trouble seems to happen with older versions of DBPro.
I use the 1.069 version, and I clearly ignored the minimum requirements for .ico files (I've tried all of these: 32-bit, 24-bit, 16-bit .... at various sizes 48x48,32x32 etc etc) and they all worked.
Dual-Core Pentium D @ 3.00GHz, 1.0 GB nVidia GeForce 8500 GT, 20" Wide screen LCD @ 10,000:1 Contrast, 4.0 GB DDR2 SDRAM, Triple-boot: 32-bit Windows XP MCE, 64-bit Vista, 64-bit Linux Ubuntu