Streamers in cool colors will help to set the mood. Choose various shades of blue twirled with white to make things look chilly. Paint different size cardboard boxes to look like ice cubes, and scatter them around the party room. Wrap the boxes in white paper, and then spray lightly with turquoise spray paint. Use crumpled up paper or Styrofoam balls as snow balls. Arrange the balls into a pyramid shape for a centerpiece. Using poster board or construction paper cut out penguins, polar bears, Eskimos, and seals and hang them around the party room.
Serve sandwiches cut into penguin shapes with a cookie cutter. Serve snow cones along with the cake. You can buy them already made, or make your won with a snow cone machine if you're feeling ambitious. Serve fish sticks! No penguin would refuse them.
To make a cake that looks like an Arctic wonderland, keep reading. Bake a large, rectangular cake for the base, and some cupcakes to use as igloos. Frost the cake and the cupcakes white. Put the igloos on the cake. Use dark and light blue frosting to make cracks and icy water on the cake, and to add detail to the igloos. Gummy fish in the water are a fun touch. Add a few plastic penguins here and there to complete the scene.