You need to go to Carlin. After that, leave by the north gate and go north-west. There you will find a NPC called Nielson. (this link show you the place where the NPC is located: http://tibia.wikia.com/wiki/Nielson). Ask him for a passage saying 'Vega'. He will teleport you to there and you can explore the icy island. To come back to mainland you must say 'Tibia' with the NPC on Vega's boat.
Keep in mind, the trip is 20 Gold from Tibia, 10 to the other two islands, and free back to the mainland.