Ice Fiends are part of the Fortnite Ice Storm event that is currently going on, and the very first challenge of this event tasks you with killing 250 Ice Fiends. In addition you have to destroy the Ice Legion zombies with explosives, which you can read about how to do by clicking here.
As for the Ice Fiends, these guys can spawn randomly anywhere on the map. You will definitely meet a lot of them without ever searching for them, so just play the game, and you will actually get the 250 kills pretty fast. There does not seem to be any hotspots or designated spawn points, so there is not really much do do besides just playing the game, and always looking for them.
It's important to note that there are three different Ice enemies; the big ones are called Ice Brutes, the skinny, tall ones are called Ice Wraiths, and the "zomebie-looking" ones are called Ice Fiends. Only the last one counts towards the progress of the challenge, so don't bother with killing Ice Brutes or Wraiths if you only want to focus on the challenge.
It's actually possible to combine this challenge with the one challenge that requires you to deal 5,000 explosive damage to The Ice Legion, since Ice Fiends are one of the enemies that are part of The Ice Legion. So focus on killing Ice Fiends with explosive weapons or grenades, and you will be working towards completing two challenges at the same time.
When you kill the 250 Ice Fiends, you are awarded with 500 XP.