Ice shield is a passive. It is "always on".  Specifically, it slowly regenerates itself. (I think its once every 5 turns?) until it is at its maximum value, which is visible by hovering over the skill in your character menu.

You can see the current amount in the top left corner. Whenever you take damage, it functions as a buffer before you lose hp.
I think taking fire damage instantly removes your entire ice shield, but I'm not sure about this.