What I do for icons is first create them using whatever graphics program I have available (The GIMP, Photoshop, whatever floats your boat), then save it as a PNG file (to preserve transparency) and convert it to an icon using Iconverter (
http://www.versiontracker.com/dyn/moreinfo/macosx/16468), it may be a bit old, but it can convert to and from Mac and Windows icons and a few image formats. There's no control over what icon sizes and colour depths it creates though, so you can't really optimise it.
About Halo, in reply to what someone earlier said: you can play with/against PC players, you just need to have the same version (or rather, the corresponding version, I believe Mac PPC version 1.5 corresponds to Windows version 1.07 and Mac Intel version 2.0... as long as everyone has the latest version available for their platform it should be all-right).