It's all clear to me now.

I'm sorry. I was just really angry and this is the wrong post.

had the same thing and turned out the size was off, try resizing to 128x128

An .ico file is not as simple as described above. A proper one contains multiple images at several sizes and color depths for proper scaling. This "tutorial" is over simplified and omits several crucial steps.
To do it correctly, you'll need Paint Shop, Photoshop or Gimp. MS paint can't do it.