Windows icons don't work for Mac, and all the programs I've found for converting windows icons (.ico) to Mac icons (.icns) run on the Mac. You can have a go at it yourself with either of these:
http://www.mscape.com/products/iconographer.html
http://www.iconfactory.com/px_home.asp
Hopefully it doesn't matter that the windows icons are stored in a library (.icl) instead of as individual .ico's.