It's caused by having the cold substance touching the roof on your mouth.
The cold stimulates nerves in the roof of your mouth causing them to spasm. This in turns cause blood vessels in your brain to dilate. The dialatation is the headache you feel.
It's like a mini migraine. But none of the serious aftereffects.
Only about 1/3 of the people experience it. I do, and the best way I recover quickly is to put my tongue up to the roof of my mouth. The warm helps calm the nerves.
As long as you don't eat cold stuff quickly you should be OK.