AHT - selecting a shortcut icon

When creating shortcuts in the AHT toolbar, or modifying (select properties), to set an icon, I can only use .EXE or .DLL files.
Why not an .ico file?
I have many .ico files, and trying to get them into a .dll is beyond my expertise.

Found an oldie but a goodie utility that will create a .dll file from .ico files.
Named Resource Hacker.
Found it be useful for other things besides AHT.

You can select an ICO file - I just tried it to check and it works.  You will need to ensure that the index is set to 0 for it to show up though.

Tom

Thanks Tom,
The index to 0 must be where I went wrong.
Also what threw me was copying the file location. Windows puts quotes around it. AHT doesn't like quotes.