About halfway through Mission 2(right after the helicopter fight), you'll be running down a hill. Once at the bottom, you can find a door in the rock wall behind you, with the words "ICEMAN" above it. Break open the door and go inside, and you'll find an icy cave filled with yetis. The yetis will shoot cold that homes in on you.
Once it hits, you'll be turned into a snowman, and you'll unlock this achievement. Press the fire button repeatedly to get out of the snowman before you're clubbed to death.