It's not just ice, but ice enchanted with ancient Nordic magic. It was primarily used to preserve the dead. How to create raw Stalhrim has been forgotten over the ages and is known only to the Skaal, which is why Stalhrim deposits are so rare and valuable.

http://uesp.net/wiki/Lore:Stalhrim

Well, it's enchanted Ice. But that's just the Nords, it is likely a mineral not unlike diamond, due it it's similarities with ice that's what the Nords took it for. 

Thanks for the answers, guys, it's been a help, but I was dumb not to consult uesp first, heh, I look up things on uesp on my phone if I get stuck, sorry if this was just a rant.