Thin Ice was a game located in the Arcade, where players must control a Black Puffle that is on fire through a maze covered in ice, melting as many ice squares as they possibly can along the way - while collecting items such as coin bags to earn additional coins. There are no lives, and levels can be skipped without completing them. There are 19 levels in total.
There is a secret room on one of the levels and If you hit the button in there it reveals coin bags. The number of coin bags that appear is the number of levels you solved.
↑"Thin ice is hard to find anywhere in Club Penguin. But the Lounge will be full of it Tuesday Dec. 19th as penguins turn mazes of ice into puddles of water in the new game." — Club Penguin Times, issue #61.