Hi,
the editor by default creates icons with sizes 16x16, 32x32, and 48x48 pixels (you can of course reconfigure it to create different sizes, but these are the standard ones). When Windows displays the icon, it automatically picks an image that is closest to the required size. Desktop icons are by default 32x32 pixels, but you can change this using the Display control panel (it is a bit buried, I do not know the exact English names, but I guess it is on Appearance tab, under Advanced button).
Don't be alarmed when Windows says the icon is 16x16, it reports the size of the last image of the icon. You may evantually choose to save the icon with images in inverse order at the bottom of the Save dialog in editor, but there is no reason to do so in your case.