After some testing with an icon with 8, 16, 20, 24, 32, 40, 48, 64, 96, 128 and 256 pixels (256 in PNG) in Windows 7:
So 8, 32 were never used (it's strange to me for 32) and 128 only by Windows Photo Viewer with a very high dpi screen, i.e. almot never used.
It means your icon should at least provide 16, 48 and 256 for Windows 7. For supporting newer screens with high resolutions, you should provide 16, 20, 24, 40, 48, 64, 96, and 256. For Windows 7, all pictures can be compressed using PNG but for backward compatibility with Windows XP, 16 to 48 should not be compressed.