The "Export as Favicon" command creates a favicon file from the current document, which must be 16px by 16px. You can create a document of this size with the "New Favicon - 16X16" command. If you want to create a favicon that also contains a 32px icon, the document must have a second page whose size is 32px by 32px. The easiest way to create this is with the "New Favicon - 16X16 and 32X32" command, which will create a new document with the appropriately sized pages.

When you run the command, it will ask you to select the folder where the favicon should be created. After you click the Select button, the document will be exported to the selected folder in favicon format. The file will be called "favicon.ico"; the command will ask whether you want to overwrite any existing favicon in that folder.

Note that this command currently works only on Windows XP. It will install on the Mac, but won't actually work. On Vista, it won't work by default, but you can install and run it if you've turned off User Account Control. A subsequent version of the command will hopefully fix this.

Thanks to Matthias Benkmann for creating the png2ico utility that this command uses to create the favicon. http://www.winterdrache.de/freeware

And thanks to Michael Geary for compling png2ico for the Mac.