As George said, "dry" ice is frozen carbon dioxide. It is made by compressing carbon dioxide strongly, and then releasing the pressure through a nozzle. Following the classic gas law, the reduction in pressure causes a lowering of the temperature of the gas. If the pressure was high enough, and the compressed gas cooled, the sudden release of pressure causes an extreme lowering of the gas temperature, and the carbon dioxide gas freezes into carbon dioxide snow. The snow is collected and packed strongly to make the familiar solid block of dry ice.
Dry ice has the unusual property of goiing directly from a solid to a gas, rather than through a liquid state, a process called "sublimation." Water ice, in a process familiar to everybody, most commonly goes through the liquid stage before becoming a gas. However, as some housewives living in very cold climates know, they can hang wet clothes on the line outside when the temperature is below freezing. Under this condition, the water ice can "sublime,