I dugg this yesterday. This MSDN article gives precise steps to replicate their icons… Just don’t actually do it though or you will be sued for copyright infringement.

Nevertheless, the tutorial is very inciteful to how the big dogs do it, starting with conceptualization to illustrating and animation. They even name the programs they use! No matter your opinion about M$, they have set the standard for icon design thus far. A must read for any icon enthuseust!