Hi Alexandre,
You start by downloading icy from the website.
Then you obtain a "icy.zip" file, just unzip the file (by double clicking on it and choose extract all).
When extracted you should have a "icy" folder containing the application.
In this folder, you should see a "icy.sh" file, this is the file you have to use to launch icy.
I think you have to change the file attributes to allow to run it: right click on the file, go to properties to set "allow execute" or something like that. Then by double clicking on the "icy.sh" file you can launch Icy !
- Stephane