I cannot figure out how I am supposed to get into the ice caves. Can anyone help me with this?

Also, are there any complete walkthroughs out there?

From the forest, bottom right.

Okay, how do I get to the forest?

ZPedro gives prophile The Stare™ for misleading newbies and/or forgetting the order of things and yet attempting to give advice

Well, you can go to the Ice Caves from the Forest, but in fact you need to have been to the Ice Caves to even enter the Forest. There is fortunately another way to go to the Ice Caves, and it's from its other neighbouring zone.

Spoiler

Way in the bottom, right hand, corner of the Factory, i believe.

Whoops.

Truth be told, most times I've run the game I've cheated on the weapons, so I wouldn't know ^^