This is one lucky dog! Falling into icy waters can be very dangerous because it causes your body temperature to drop very low and can result in hypothermia. Hypothermia is a life-threatening condition where your body is unable to keep itself warm.
The Red Cross advises to curl up into the "HELP" position which stands for Heat Escape Lessening Posture if you do fall into cold waters: "While wearing a life jacket: Pull your knees up to your chest. Keep your face forward and your head out of the water. Hold your upper arms at your sides and fold your lower arms across your chest, as if hugging yourself."
The best thing you can do, though, is avoid getting into a situation where you could fall into icy waters. Don't play on frozen ponds or rivers and watch for ice when you are walking nearby.
