You could use LiquidIcon to accomplish this task, a tool I used to use a loooong time ago to make my own custom mouse cursors (it does both .ico and .cur files):
https://www.x2studios.com/desktop.html
As a quick example, here's a *.ico file I just made using your PNG file. I first copied and pasted it into Paint, cropped the excess border leaving it at a nice round 256x256, then copied and pasted that into a new 48x48 LiquidIcon file and let it scale it down. I didn't bother messing around with the transparency since that would take a lot of manual clicking and this was purely as an example for you. To test, I set the image for of my desktop folders to the newly-created castle icon file, and it worked just fine here on Windows 11.
If you happen to have the *.exe executable file for the RPG Maker Program handy, you can also just import the icon directly and save it as your own icon file, using the Extract option. That would be easier than what I just did.