He does not mean running icecc and icedc by clicking on them. He means the command prompt, where you would type in commands. It is in Start -> All Programs -> Accessories -> Command Prompt. From the command prompt window an easy way to get to where IceCC is located is this:
Type cd with a space after it, then drag the folder containing IceCC to the command prompt window, then press enter.
Next type the drive letter that IceCC is on, followed by a colon ":" with no space between the letter and the colon, then press enter.
From here you can use the icecc and icedc commands.
BTW, command prompt != DOS. (reads command prompt is not equal to DOS, just in case you didn't already know that.
) Though it looks like DOS and uses DOS-like commands, it is still part of Windows. There are even Windows programs which use this type of interface; IceCC is one of them.