You can only get this on at least your second playthrough of the game, you will receive a gold key on your first successful playthrough, this will open some additional doors where you can get a lot more frozen drops.
The Doors can be found;
- Edge Wood - Far Left - Cemetery
- The Hangly Pass - K Door, After the big wheel platforms
- The Sack Chute - Can't miss it, you have to go past the door with a large gold lock - Lightning Bolt