In order to get the ice arrows, you must first complete the gerudo
training ground. Open all the doors on the left side route
of the door directly in front of you when you enter the training ground.
There are some hidden keys on the paths in the door in front of you when
you enter the training ground. Use the lens of truth on the left side path
to find a hole in the ceiling that you can access by climbing the fence.
Also make sure to check and recheck the left and right side doors near the
entrance to make sure that you didn't miss any keys!