1. Create a new image, 500x500px seems as a good size. Use a black background so you can see what you're doing. Select the Text tool (T). Select the white as Foreground color and write a text somewhere in the image.
When you're done, click on Layer>Rasterize>Type or right-click on the layer and choose Rasterize.
2. Click on Edit>Transform>Rotate 90 CW and then click on the "Lock Transparent Pixels" Button.
Reset to default colors (D) and then click on Filter>Render>Clouds. Repeat this until you get a smooth gray color over the whole text. Note you can't just fill it with 50% gray. You need the small transitions between the black and white, that appears in the cloud filter.
When this is done, click on Filter>Render>Difference Clouds. Then invert the colors of the layer by clicking on Image>Adjustments>Invert (Ctrl+I) and on Image>Adjustments>Auto Levels.
3. Duplicate the layer and hide it. Select the original layer, and unlock the transparent pixels. Click on Filter>Stylize>Wind. It might happen that you don't get so much "drop" as you want. So repeat the wind filter by pressing (Ctrl+F). Now, unhide the duplicated layer. Link and merge the active layer with the duplicated layer. Select all (Ctrl+A) and then click on Edit>Transform>Rotate 90 CCW.
4. Again click on the "Lock Transparent Pixels" Button.
Fill the layer with white.
Click on Layer>Layer Styles>Blending options.
Set the settings to this:
Blending Options : Fill Opacity = 0%
Drop Shadow: Opacity = 50%
Color = #678DAE
Distance = 3px
Size = 5px
Inner Glow : Blend Mode = Overlay
Color = White
Opacity = 65%
Size = 20px
Range = 30%
Bevel and Emboss : Depth = 700%
Size = 5px
Soften 7px
Gloss Contour = Ring - Double
Highlight Opacity = 100%
Shadow Mode = Normal
Shadow Color = #C4DBE9
Shadow Opacity = 25%
Contour : Just enable it, nothing else to be changed.
Satin : Blend mode = Normal
Color = White
Angle = 120
Distance = 9px
Size = 32px
Contour = Sawtooth 1
And you're finished with your frozen text.
On black background it doesn't really look that frosty, so give it another background. A brighter one.
I played a bit with this effect just to show how it would look on bright backgrounds. In the intro image I replaced the black background with some rendered some clouds using a blue color as Foreground color and the default white as Background color.
More Tutorials: 
