I want to make an icon (texture on plane) located somewhere in the scene that always faces the camera, alway stays the same size (close look and far away) and can be seen through all things in the scene.
Use a GUITexture and position it using WorldToScreenPoint
Well, try creating your object, arrange it at the needed coordinates so your Camera can see it and in the Hierarchy tab make sure to make it a child of your Main Camera. Let me know if this helps :).
Also make sure to set up the rest of your scene slightly behind that object and it should work pretty good.
To do this I would make a second camera. Set that camera as a child of the main camera. Set the culling mask to only show the object you are interested in. Last, set the depth of the second camera higher than the depth of the first camera. Camera Documentation will be helpful.