1. Create a new document (Ctrl+N): Width = 400, Height = 300
  2. Get the fill tool and fill the background white
  3. Now, Press D, and Filter > Render > Clouds.
  4. Now, Filter > Render > Lightning Effects:

    Settings

    Light type: Omni (pull the circle until all four points are outside the image).
    Intensity: 45
    Gloss: 100
    Material: 100
    Exposure: 27
    Ambience: 57
    Look at the boxes with colors in them. Go to the top one, double click, and make it white. Now go to the second one (bottom) and change the color to blue (#0000ff).
  5. Now, Filter > Artisitic > Plastic Wrap:

    Settings

    Highligh Strengh: 15
    Detail: 9
    Smoothness: 7
  6. Now make a new layer. Fill it with the same blue you used in the lightning effects. Now change the Mode: Overlay.
Ice effect final