The goal is to reduce the overall temperature of the city and to store much-need water in the dry region. The technique is similar to how ice rinks are created - just layered over and over again to create massive ice walls in strategic parts of the city.
The Guardian has the story:
"[Mongolian engineering firm ECOS & EMI] believe[s] their proposed use in Ulan Bator could set a positive example that allows northern cities around the world to save on summer air conditioning costs, regulate drinking supplies, and create cool microclimates."
Geoff Manaugh goes on to explore the use of frozen water as a construction material, which he says have often been used to build temporary bridges:
"The frames and techniques used for building with frozen water, then, are very similar to those used when dealing with concrete; in either case, it is the architecture of hardened liquids."