ICL files are NE files. They are 16-bit and last I used them was in Win'98.
If you want to support them, you have to retrieve the raw ICON Data by directly reading from it... Wouldn't be worth the trouble, I'd say.
BTW, ExtractIcon() recognizes .BMP file as an ICON. Also, LoadPicture() is able to load a BMP as HICON when VType parameter is used.