Well, "out of the box" Paint.NET doesn't support editing Icon (.ico) and Cursor (.cur) files, however there is an excellent plugin over at evanolds.com that add extends Paint.NET to have this functionality.
Icon/Cursor Paint.NET Plug-in
9811cd49-9ce5-4caa-8942-6012a9ca5200|1|5.0
General
open source, tools