Por si alguno os sirve...
Esta bien lo que no he logrado hacer un border al circulo y si el numero es muy grande se sale del circulo y queda como el culo ;P

public static Icon GetIcon(string text)
{
//Create bitmap, kind of canvas
Bitmap bitmap = new Bitmap(32, 32);
Icon icon = new Icon(@"tv.ico");
System.Drawing.Font drawFont = new System.Drawing.Font("Calibri", 10, FontStyle.Bold);
System.Drawing.SolidBrush drawBrush = new System.Drawing.SolidBrush(System.Drawing.Color.White);
System.Drawing.Graphics graphics = System.Drawing.Graphics.FromImage(bitmap);
System.Drawing.SolidBrush drawBrushBlue = new System.Drawing.SolidBrush(System.Drawing.Color.OrangeRed);
graphics.TextRenderingHint = System.Drawing.Text.TextRenderingHint.SingleBitPerPixel;
//Pen p = new Pen(Color.OrangeRed);
graphics.DrawIcon(icon, 0, 0);
graphics.FillEllipse(drawBrushBlue, new Rectangle(15, 12, 15, 15));
graphics.DrawString(text, drawFont, drawBrush, 17, 12);
//To Save icon to disk
bitmap.Save("icon.ico", System.Drawing.Imaging.ImageFormat.Icon);
Icon createdIcon = Icon.FromHandle(bitmap.GetHicon());
drawFont.Dispose();
drawBrush.Dispose();
drawBrushBlue.Dispose();
graphics.Dispose();
bitmap.Dispose();
return createdIcon;
}