Toby Thain has made a free plugin for Photoshop that lets you save graphics as .ico files. It’s not over the top like some plugins, its just real basic save as, pick the sizes, etc. Download it here.
All that I can see when I run any of the Adobe CS3 patches, including the Photoshop CS3 10.0.1 update is just a blank installer screen. Even the button doesn’t have any text in it. Update: I solved it!