In Visual studio I can draw 13 different application-icons in different resolutions and color depths. But do I have to do this, or is there a way to automatically produce all low-res icons from one single hi-res icon?
Some icon editors can do it for you, but you get a much better result if you do it by hand with some tender love and care (The real small icons will probably look better if you leave out the finer details of the larger images and instead focus on the basic shapes so it does not end up like a mess)
VS does not really support all formats (PNG compression etc). I would use a "real" icon editor. IcoFX and Greenfish Icon Editor are both free.
The easiest way is to use a program such as IcoFX or GenIconXP to do it for you from a higher resolution image. If you're using VS2008 there's also IconWorkshopLite
For the best results you should draw your icons by hand at each of the different sizes so that they look great at each size. You can probably draw at 32-bit colour and down-sample to lower colour depths, Windows XP and above will only use the 32-bit version anyway for application icons.
There is some official guidance from MS here:
http://msdn.microsoft.com/en-us/library/aa511280.aspx
If you can, it is well worth paying for a professional to draw your icons, it can make a dramatic difference to how good your application "feels". For a single icon the cost should not be too prohibitive (we typically pay $100-$200 per icon).