Ideally, your efforts against the icy road danger should be focused on preventing a slide to begin with by simply driving slowly and avoiding sudden braking, acceleration or turns. However, if you find yourself in a slide, doing the following may help you regain control:
Release your brakes
ABS (antilock brakes) do not work well on ice, and often will lock up your wheels regardless. Sliding wheels are uncontrollable, that is, steering input will not change the vehicle's direction if the wheels are sliding.
Turn into the slide
Turn your wheels in the direction that the rear of your car is sliding. It helps to look with your eyes where you want the car to go, and turn the steering wheel in that direction. It is easy to steer too far, causing the car to slide in the other direction. If this happens (called over-correcting), you'll need to turn in the opposite direction.