The Frozen Host is warband the splintered from the Iron Warriors immediately after Perturabo's ascension. As fanatical believers in the supremacy of man and inferiority of psychic detritus, they absolutely refused to take any orders from a daemon even if it had once been their father. They settled on the ice world of Nyx in the Eye of Terror, a nightmarish place covered in perpetual howling infernal blizzards and so out of the way it made for a perfect hideout. Almost all of their slaves died in the process of moving in, and they had to fortify the place by themselves.
Over time, the collective hatred and disdain the Host feels for everything and everyone else somehow shaped the planet around them and themselves. It eventually came to the point that their flesh itself froze but refused to die, instead carrying the lethal ice storms of their homeworld wherever they go. The sheer aura of chill is enough to drain the life from mortals and daemons alike, which in practice means that they're constantly going through slaves at an appalling rate and have to reluctantly work with others to acquire new mortal thralls. Also, they have to do a lot more work themselves than most Chaos Marines.
Since they believe that humans are superior and daemons just worthless psychic castoff, they believe in transcending emotions through meditation and self-denial taken to the absolute nth degree. Just the selection process for new neophytes wipes out more than 95% of aspirants in the first round, so they're constantly looking to recruit. While they occasionally ally with other Astartes, they're so fanatically anti-daemon they will open fire without hesitation on any that so much as attempts to bring them a message.