SPOILERS BELOW:

The hot spring is in the area of the glacier before the world map style area. There is a screen with a path running diaganolly across the screen from the bottom-right to the top-left. On both sides of this path there is some water which is steaming. This is the hot spring that you need to touch, so walk over to it and press O (or whatever you've configured your confirm button to be). After you've done this go back to the woman in the ice cave you found earlier and talk to her. A battle will ensue, where you can steal a Circlet (Magic + Spirit +30), after which you will receive the Alexander Summon materia.