But what is about a bigger view?An icon file can actually hold more than one icon in several resolutions (16x16, 32x32, 64x64...) and several color depths. You can use tools like IcoFX (http://icofx.ro/) to create such "combined" icon files. Windows is so clever - it will choose just the right resolution/color depth at runtime which depends on the resolution / color depth of the OS on the target machine (obviously).
Can those icon files be used only with MsWindows?Yes. Under Linux you need an XPM (which can hold several "icons" again). Search the wxWidgets examples - there are plenty of Windows / Linux projects with icon resources. You'll find the required switchyard, too. (I don't recall atm).
How can I skip compiling the .rc file under Linux?Either you use scripting (attach a script file to your project that turns off compilation under other platforms than Windows) of you just create another (Linux) target / project. I personally use the latter... although much more "cool" is the first. ;-) (But I am too lazy to change all my projects.)
Skipping file (no compiler program set): SPS_Log.rc