Important: about 5 minutes into the installation, the final movie of Heart of Winter will play. (Installation will take 15 minutes or more, depending on your computer.) After a couple of minutes, you will be prompted to enter your Icewind Dale installation do so. When prompted, enter the paths to your Baldur's Gate II installation. (On Vista or Windows 7, avoid choosing a directory in the 'Program Files' folder). Run the Icewind Dale in Baldur's Gate II program (as an administrator for preference, if using Vista or Windows 7) and extract the files to a new directory.
(I don't know exactly how much is needed. A Windows PC with several GB of spare space.(Actually, a modded one will probably work too, but I don't guarantee it.) A full, unmodded install of Baldur's Gate II, together with the Throne of Bhaal expansion.
(The Good Old Games version has all of this.)