Wrao,
You can make icons in photoshop. Go to
http://www.railheaddesign.com
Under the various link you'll find a tutorial called "How to make icons the railhead way". It will walk you through how to make an OS X icon using Photoshop.
BPMF,
You'll want your icon in a .icns format. That way you can add it to your project in XCode. If you do that all of your alert and about boxes will use your icon instead of the generic application icon.