Create your .ico (Paint can do this).
You have to convert the .jpg to .ico using a program that can do it.
You can't convert a .pdf to a .ico because .pdf isn't an image file.
(Check this, it may be possible).
Try IrfanView - it's free and it's great.
That should help you.
Then save this to the icon file and use the control panel to reallocate the new icon to the file/app.