From the Super Mario Wiki
Icy is the fifth Snow Spirit Mario and Sonic the Hedgehog meet during the Adventure Tour in Mario & Sonic at the Olympic Winter Games. It is the Snow Spirit of Icepeak. Mario and Sonic first find it held hostage after defeating Big Bullet Bill at the end of Cubyrinth 2. They then free Icy and it joins the team after Cuby returns to Cubyrinth. If the player has 4 green crystals, it can break the ice walls in Icepeak.