The Ice Arrows are in the Gerudo Training Ground. Once you enter the Gerudo Fortress from the valley go up the stairs on your right and then look to the right, you'll see a Gerudo woman standing by a gate. That is the training grounds. Look on the internet for the map or gamefaqs on how to finish it.
i think that there is a problem with the gerudo training ground becaues i got all the keys i could find and unlocked most of the doors but there are these other doors kinda of to the side and i unlcked them so i think im screwed.
This needs lockage. Not because it's a bad idea, but because this thread already exists as a sticky. Not to mention, many these questions are fairly trivial considering the answers are all found on ZU itself in their OOT section.