Maegg.com appears to have expired - at least for the moment - but it had a really nice article on making frosty looking text. So I’ve preserved what I could here:
Paint Shop Pro
Snowy, Frosty, Icy Text Effect
Paint Shop Pro makes this an easy text effect with a little work. Tutorial uses only paint shop pro 8 effects and no added plugins are needed. Tutorial uses layers, vectors, and effects so a working knowledge of those tools are helpful but not necessary. All the things you need can be found in Paint Shop Pro. 1. Create a new image. File > New. Width: 500, Height: 300, Resolution: 72 px, Raster Background, Color Depth: 16 million colors (24 bit), transparent checked. Click OK.2. Create a new raster layer. Layers > New Raster Layer. Click OK.3. Flood fill this layer with anything you want. I used a gradient. This will be your background layer. We’ve also preserved our transparent layer in case we decide we need it. To flood fill, click your flood fill tool (looks like the paint can with a drip coming out of it). Click your materials palette and choose either a color or a gradient. The gradient I used is my own called babydevine. Feel free to download the zip file and unzip it into your psp8 gradients folder. Gradient settings used for babydevine gradient are Angle: 180, Repeats: 0, Style: Linear.4. Now for the icy text. Click on the text tool. I have a screen shot of all the options including the font, size etc. I have also given you the colors in the screen shot. Set everything as in the screen shot and then click in the center of your picture and type your text. If you highlight the text when the entry box (highlight it there) is up, you can keep changing the options.
Text Tool Screen Shot
5. Click Selections > From Vector Object. Then click Selections > Promote Selection to Layer. Now we need to save our selection to alpha channel so we can call it up easily. Click Selections > Load/Save Selections > Save Selection to Alpha Channel don’t change anything and just save the selection as is.
6. Make the promoted layer active by clicking on it in the layer palette. We need to duplicate the promoted layer for the glow we are about to add. Right click on the promoted layer in the layer palette. Click Duplicate. Now make the copy layer active by clicking on it.
7. Add an inner glow. To do this click Effects > 3D Effects > Cutout and set options as follows:
Vertical: -5
Horizontal: -5
Opacity: 21
Blur: 3
Shadow color: white
No fill color so uncheck the box
Click OK.
8. Merge the inner glow layer down onto the one under it. Click Layers > Merge Down.
9. Click Effects > Texture Effects > Sculpture. Set all options as they are in the screen shot from paint shop pro:

10. Now for the snow shadow. Click Effects > 3D Effects > Drop Shadow and set options as follows:
Vertical: -4
Horizontal: -3
Opacity: 100
Blur: 0
Color: white
11. Click Selections > Select All. Now we need to float it to get our text plus the shadow selected. Click Selections > Float.
12. To get the snowy effect we will be using our smudge tool. The smudge tool is bundled in with dodge, soften etc. On my workspace it is under the clone (two people) tool. Click on smudge tool and make it active. Set all the options as in this screen shot. I left the graphic big so you can also check your progress. The brush is the default. Now to smudge in our snow. Go around each letter smudging the white into the the blue. Put brush at top part of white and hold down your cursor and make small short smudges down and slightly to the right. If you don’t like a stroke, click undo and try again. Smudge all the white into all the letters until you are happy with your snowfall :0)
13. I like to apply a blue drop shadow. You can do what you want from here to make it your own. To add the blue shadow that I did, click Effects > 3D Effects > Drop Shadow and set options as follows:
Vertical: 10
Horizontal: -1
Opacity: 100
Blur: 15
Color: #769DFA
14. If you see any edges that are too sharp just barely smudge them to blend them in. I like to lighten the text as a last step to make it look a little more frosty. To do that click Adjust > Brightness and Contrast > Gamma Correction and set it at 2. Merge all your layers, click Layers > Merge All. Click Selections > Select None and your done!
All done with Paint Shop Pro