Something frozen that is keeping cold (3)
I believe the answer is:
ice
'something frozen' is the definition.
(ice is frozen water)
'that is keeping cold' is the wordplay.
'that is' becomes 'ie' (short for Latin 'id est', 'that is').
'keeping' is an insertion indicator (some letters kept inside).
'cold' becomes 'C' (eg on taps).
'ie' placed around 'c' is 'ICE'.
(Other definitions for ice that I've seen before include "Glaciate" , "Decorate a cake" , "Some number" , "dessert" , "Frozen water - diamonds" .)