How do I convert a JPEG to an ICO?

As a curious individual seeking to navigate the digital world, I'm wondering how I can convert a JPEG file to an ICO format. I've heard that ICO files are often used for icons, especially in Windows operating systems, and I'm eager to understand the process of transforming my JPEG images into this format. Could you please elaborate on the steps involved in this conversion process? I'm particularly interested in knowing if there are any software tools or online platforms that can assist me in this task efficiently and without losing image quality.