He's talking about the materia.

I don't remember the exact location of everything, but after snowboarding you will need to go to a hot springs and dip your hand in it. Then when you go to a cave with an ice woman in it she freaks out that you are unclean and fights you. Beat her (it's an easy battle, not a boss battle at all) and the Alexander materia is yours.

Don't worry if you pass out from the cold, you can always go back and get the materia later.