Hvordan...

Kode 

procedure TForm1.Button1Click(Sender: TObject);
var
  Icon:   TIcon;
  Bitmap: TBitmap;
begin
  {Create a temporay icon}
  Icon := TIcon.Create;
  try
    {Create a temporay bitmap}
    Bitmap := TBitmap.Create;
    try
      {Load the .ICO}
      Icon.LoadFromFile('c:\\YourIcon.ico');
      {Make the conversion}
      Bitmap.Height := Icon.Height;
      Bitmap.Width  := Icon.Width;
      Bitmap.Canvas.Draw(0, 0, Icon);
      {Save the BMP}
      Bitmap.SaveToFile('c:\\YourBitmap.bmp');
    finally
      Bitmap.Free;
    end;
  finally
    Icon.Free;
  end;
end;