MMF2 - Icon Help

In MMF2 the applicaton has an icon in properties which if you click "edit" you see it is a orange circle with a lightling bolt. There are nine different image versions ranging from 48 by 48 to 16 by 16.

My question is in the Install Creator it requests that for your .exe file to select a .ico file.

For the startup menu I assume you select a 32 by 32 and for the desktop short cut a 48 by 48.

Is this correct? Can I export the ones that are part of MMF2 or do these have to be .ico files???

Need pointers on this.