The Icicle Inn is located to the northwest of the exit to the Corel Valley Cave. Travel there on foot using the screenshots below to help find the small village:
Start off by entering the house on the left which is the Weapon Store. The weapons for sale include:
Organics
Dragon Claw
Microlaser
Adaman Clip
Hawkeye
Red M-phone
Mast Ax
Lariat
These weapons are all great upgrades for the most part. Red XIII’s Seraph Comb from Cosmo Canyon is definitely better than the Adaman Clip and Yuffie’s Magic Shuriken (which you would only have if you completed the Wutai side quest) is arguably better than the Hawkeye (with the exception being the number of Materia slots).
The remaining weapons though are great upgrades over your previous weapons in terms of Attack Power, Attack % and typically with great improvements in the number of Materia slots. You should purchase the Dragon Claw for Tifa and Microlaser for Barret as you will have to use both of them in an upcoming portion of the game.
The man behind the counter of the Weapons Store also sells 
Tents and Hi-Potions if you need them.
Travel to the house on the far right side with the two girls out front building the snowman. Make sure you grab the map hanging on the wall in the middle of the room. The “Glacier Map” will help you to navigate through the next location that you are headed to.
There is also a Hero Drink and a Vaccine that you can pick up in the room at the back.
Travel to the Inn which is just north of the house with the Glacier Map. There is a big sign out front that reads “Inn”. Speak to the lady at the front counter to rest your characters for 200 gil.
Proceed up to the second floor of the Inn and you will find an X-Potion in the left corner - you can faintly see it flashing through the window.
The last house to go in is the one just north of the Weapon Store (on the upper-left side of town) called Gast’s house in the menu screen.
You can examine the computer on the back wall and play the video to find out some more information about Hojo and his experiments involving the Ancients.
There is a Turbo Ether in the basement of this building.
Travel north down the trail that leads out of town. The man standing at the edge of town will warn you not to go past this point. Choose the “I’m still going” option and a scene will occur involving Elena and the Turks.
Elena will attempt to punch you shortly - just press 
(Left) Button or 
(Right) Button on the directional pad and then the 
Button to dodge it when prompted. If you fail to dodge her punch you will wind up back in Gast’s House.
Enter the house in the center of town and speak to the little boy at the back of the house. He will offer to give you his snowboard on account of his recent injury.
The cat will move out of the way allowing you to pick up the “Snowboard” Key Item off the bed. This time when you proceed out the back end of the town the man will just tell you to be careful.
Enjoy the snowboard mini-game. While you complete this mini-game the path will split two different times. This means that you have the option of taking four different trails:
The controls for the snowboard mini-game are:
(Left) Button and (Right) Button on the control pad to go left and right
Button to Jump
(Down) Button to Brake
Button or 
Button to Edge (take turns sharper)
Button to Pause
Depending on the path you take you will wind up in a number of different areas of the Great Glacier. Check out the Great Glacier page for more information though this guide will begin in the area you would land if you take a left followed by another left to land in Area (3).
