First visit http://www.telegraphics.com.au/sw/#icoformat and download the true version (32 / 64 Bit) for your OS (Mac / Windows / Linux)
Attention: at this time I could not get 64bit Plugin (... .8BI) works on 64Bit Windows7. But when I copied the 32 version of plug in I coult get it run on both 64 bit and 32 bit CS4. Also use "ICOFormat-1.6f9-win" instead of "ICOFormat-1.93b1-win64" below.
Extract files to folder (ICOFormat-1.93b1-win64). There is one .8bi file and gpl license, readme etc.
Copy or cut that folder (ICOFormat-1.93b1-win64) to "C:\Program Files (x86)\Adobe\Adobe Photoshop CS4\Plug-ins\ICOFormat-1.93b1-win64" (under win7 64bit)
Retstart your Photoshop. On my PC it works with both CS4 32 and 64 bit versions. Now you can edit save favicon.ico like icon files. I use 16x16 pixel for a favicon.ico.
Do not forget to donate the programmer of this plug in! Why not a coffee or pizza?