There are Multiples ways to Transform an image on ICO for favicon Creation macOS…
But if you want a way to Save it in ICO Directly from Inside Photoshop CS2/CS3/CS4 on a Mac System you Currently, need a to Install a Photoshop Plugin.

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There are Multiples ways to Transform an image on ICO for favicon Creation macOS…
But if you want a way to Save it in ICO Directly from Inside Photoshop CS2/CS3/CS4 on a Mac System you Currently, need a to Install a Photoshop Plugin.
To Install it Drag in:
Applications > Adobe Photoshop CS5 > Plug-ins > File Formats
Then Restart Photoshop to have it Enabled
Saving a file as .ico:
Save as > Format > ico