Use Bitmap.Canvas.Draw to draw the icon on the Bitmap. Example:

procedure TForm .Button Click(Sender: TObject);
var
  TheIcon : TIcon;
  TheBitmap : TBitmap;
begin
  TheIcon := TIcon.Create;
  TheIcon.LoadFromFile('C:\Program Files\Borland\IcoCur32\EARTH.ICO');
  TheBitmap := TBitmap.Create;
  TheBitmap.Height := TheIcon.Height;
  TheBitmap.Width := TheIcon.Width;
  TheBitmap.Canvas.Draw(0, 0, TheIcon);
  Form .Canvas.Draw( 0,  0, TheBitmap);
  TheBitmap.Free;
  TheIcon.Free;
end;