Your best bet is to own something like HiJaak which can do the conversion
directly. However, assuming that you have nothing but Windows and Delphi,
the following procedure can be used to convert an icon to a bitmap:
Display the icon somehow. Doesn't matter how you do it.
Press Alt-PrintScreen to copy the current window to the clipboard.
Load Paintbrush and do an Edit/Paste.
Highlight the icon using the square selection tool and do an Edit/Copy.
Go to Options/Image Attributes and set the working area to 32x32 pixels.
Do an Edit/Paste again.
Save the result as a BMP file.