What do I do with it? D: and where did it go?

Did you get it while exploring the Ice Field? It's specific to that game. You don't actually GET the item in your inventory, but you need to have it in order to successfully navigate the field.

Adding on to what said, you need it to navigate the field because if you get far enough you might see a little Slush, and you give him the cookie so he'll let you pass. (:

Oh! Okies :D thankies much

I have never got to giving the Slush the cookie