Here's a free (for most) way to turn your Png to Ico with a transparent background.
  • Create or edit an image with a transparent background. You can use PowerPoint for this. Add shadows if you like.
  • Save to PNG.
  • Use a service like ConvertICO.com (ConvertICO) to turn your Png to Ico.
  • Rename filename.ico to filename.png
  • Open that renamed PNG file with Powerpoint again and turn background transparent again.
  • Resubmit it to ConverIco website.
  • The result should be a transparent icon file ready to use.