You can take species that can get the effect through the ice tunnels (click the Christmas event banner above your log out button to find the tunnels)
When a eligible pet reaches the end of the tunnel it will get "frosted"
( The pet has to be an adult :o)
You can see a list of pets that can get the effect on the updates page and can see what they look like with the effect by:
Finding the species on the creatu species page and then useong the drop down meanue to find the effect :D
You can also use an item called a Frost light icicle