To create a new document, use the File | New menu item, or double-click on the gray main window. You will be asked to enter the properties of the image format to be created. You cannot select the color depth, because it will be dynamically determined later.
Tip: You should start with creating and drawing a 256x256 image format, because using your icon in a Windows Vista(tm) context, it is recommended to have an image format in such a large size. Then, you will be able to create all other formats easily, using the Icon | Create icon from image menu item.