I was doing a spot of late night browsing (in fact I was in the middle of reading a very interesting article on Agile development experiences when the server went down!), and came across a totally unconnected MSDN article from July 2001, which is a beauty. Creating Windows XP Icons describes in step-by-step detail how to create icons just like the guys at Microsoft. It describes the palette, perspective, common icons for toolbars, adding drop shadows, creating correct transparency maps etc.
If you are a designer or a programmer in a designer’s shoes, this is a must read. The article has been rated over 7500 times and it has an average rating of 8 out of 9 (who’s the person that seems to visit every MSDN article and give a rating of 1 ?!?)