A nice pack icy brushes. Use gradient tones and layer styles for great effects.
Here is a catalog of winter ice brushes.
There are shards, bursts, and ribbons. The ice ribbon looks like a water flow, so you can use it for that too.
to get the colors and shades right, use color gradients and layer styles. Brush blending modes can help a bit; I used a dark blue color burn for the darker hues on the thumbnail.
As of the end of February 2022, I've updated to include colored versions of all the greyscale brushes, so it's easier to get them looking natural. It's possible to edit and manipulate these as well with gradient maps and layer styles.
Have fun making cold scenes with these brushes!

brush
Update history
Feb. 28 2022 : Updated to include colored brushes and a demo image in the description.