Something that's icy is frozen like ice or covered in ice. A winter road could be icy; and, if you give someone an icy stare, they are going to feel like hitting the road.
Use the adjective icy to describe your town's slippery sidewalks in the winter or the frosty peas you just removed from the freezer. You can also describe very cold conditions as icy: "I'm putting my long underwear on — it's icy out there!" When a person is icy, they are aloof and unemotional, as opposed to warm and friendly. This figurative meaning has been around since the late 1500s.