I know it's random, but whenever I pass through the 1st two levels with the cookie in each step and the baby slush lets me pass I got lost... o.O This just happened again and I was wondering if I need something in order to let me choose the two options like in the previous steps....

No, all you need is the cookie. There aren't many steps in the game, a total of 6 if I remember right, so the odds of getting past the 3rd level, even with a cookie are pretty low.

oh snap! Think I got the handle only once before selecting the wrong direction and dies..

You are unwilling to admit defeat and push forward through the glacial plain. Your extremities have started to go numb, which is almost nice in comparison to your face, which is burning from the cold.

You find a Frozen Cookie buried in the snow!