Favicon2 users found helpful
The page has no chache so forget about refresh problems.
There are free plugins for photoshop or online converter to convert/save a gif/png into ico.
For what it's worth I have used the link below to create Favicon's for a number of sites, both static Fav's and animated Fav's it works fine in Firefox not sure about IE as I have decided to move away from that.
There is no need to rename files or worry about the format after you have downloaded, It does all that for you and it allows you more editing than you probably would ever need.
I do hope this helps.