Not sure what you mean by downloading a set of preset icons. What would you use them for? If you want to edit them inside PSP they need to be in a format that PSP can edit but other than that you can download anything you want.
As for drawing the cross. I'm including a quick video but here are the instructions:
https://drive.google.com/file/d/0B8FlFL ... NkaW8/view
1) Create a new image - any size
2) Draw out a vector rectangle the size of one of the lines. I turned off my foreground/stroke color so it's a solid black. The example above uses a slight grey outline. Do whatever works best for you.
3) Duplicate this rectangle
4) Grab the Pick tool, and with the SHIFT key pressed, grab the rotation handle and start rotating one of the rectangles. The cross above is rotated to 45 degrees.
You can rotate it in one of two ways:
1) Rotate one rectangle 45 degrees, and the other in the opposite direction to 315 degrees.
or
2) Rotate one rectangle 90 degrees to create a simple cross. Then select the top vector layer and rotate the whole thing 45 degrees.
Save as a PNG.