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The package ice contains a number of files. If you 
ssc desc ice
you will see that there is an ice_.ado, which you presumably do not have; thus the error message. You should not
(1) install anything in the 'ado/base' directory, even if you could!
(2) install packages piecemeal with a web browser.
Use 
ssc install ice, replace
and it will put everything where it should (which is in the PLUS directory, to which you should have access).
Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
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