On this page of the game guide to Borderlands 2 you will find a detailed description of the side mission titled The Ice Man Cometh. You can start this quest in the Three Horns Valley location after the completion of the side mission named No Vacancy.
Three Horns Valley
1) Bounty board
2) Passage to Three Horns Divide
Three Horns Divide
2) Passage to Three Horns Valley
3) Bandit camp
Approach the Bounty Board  to begin this mission. Pick up the Dynamite found to the right of the board. Now drive to the northern or southern passage leading to Three Horns Divide  and from there to the Bandit camp .
Your task is planting five explosive charges by the by the furnaces. After you plant all of them, activate the transmitter in the middle part of the camp. The last thing you need to do is killing eight Freezing psychos. Afterwards you can return to Three Horns Valley and finish the mission by the board .