My icons do not occur in the list of user icons
To be shown in the list of user icons the *.ico file has to be a 16×16 version of the icon embedded.
So you need software that is able to create ico files with several versions of the image. A good option is “Greenfish Icon Editor Pro” (Freeware).
Open the icon there, click on “New Page” at the left and enter 16×16 Pixels. Then simply save the file and you have your icon.