The classic start menu warning is just a general message IP pops up until you check off the "don't show this again" box. If you use XP, it shouldn't make any difference for you. When you double click an icon packager file, it installs the icons and opens the program for you. To apply the icons, select them in the list, click the "load" button, then click the "apply" button.
As for your "how to make them" question, do you want to know how to make icons, or how to arrange them in iconpackages?
