Converting jpeg to ico files

You can use IconDeveloper https://www.stardock.com/products/icondeveloper/downloads.asp

Note - jpeg files will not have transparency, so your "square" image (say 256 pixels x 256 pixels) will have all parts of the square.

In other words, if you have an image of an object on a white background and create an icon from the jpeg image, you will then have a square icon containing the object on a white square.

I hope that makes sense.

Most artists use ".png" images or ".psd" images which support transparency (A.K.A. the "alpha-channel") as the source image for icons.