Mercury
If you are interested in more detail, and some images that show the distribution of those icy locations, please read this press release from 2012. In this image from the press release, the locations of ice determined by radar are overlaid on an image of the polar regions of mercury.
As the description of the image states:
All of the larger polar deposits are located on the floors or walls of impact craters. Deposits farther from the pole are seen to be concentrated on the north-facing sides of craters.
The sources of the water on Mercury are the same as the sources of water on all planets. It is either left over from the initial outgassing during the planet’s formation or deposited on the surface later during bombardment.