The following error occur when selecting an icon for a custom policy:
The selected image file is not supported.
You should supply an Icon (ICO) file containing two images, 16X16 and 32X32 pixels in size, with color depth not more than true color (24bit).
Make sure the icon file selected meet the requirement as stated in the error message.
Normally the properties of the Icon file will provide more information. Right click on the Icon file and go to Properties. The "Details" tab will provide most of the information of the icon file.