You shouldn't need to download anything called that. Are you sure you followed the instructions correctly as far as how to get it working?
To be clear, there should be instructions that link to https://github.com/garglk/garglk/releases and prompt you to download it. Then you open the program, select the .gblorb file from NIP, called NIP.gblorb, and then open it through Gargoyle. There isn't anything in any of these files or programs called 'icy cave' that you then need to also download.