Start out by choosing Filter > Render > Clouds. Make sure that your foreground color is white, and your background color black.
Take your text tool and write whatever you like in large white text. Duplicate your text layer, but hide the duplicate. We will come back to this one later.
Rasterize your visible text layer by right clicking your text with the text tool, and choosing rasterize. We are now going to apply the wind filter to make an icicle effect. After you have rasterized your layer, merge it to your background by pressing Ctrl+E. Now choose Filter > Stylize > Wind. The filter can only apply the wind in one direction, so we are going to do one side of the text at a time. Choose “from the right” in your wind options menu, and click ok. Your text should be blown to the right, now lets do the other sides. Choose Image > Rotate Canvas > 90 Degrees CW. Press Ctrl+F to reapply the wind effect. Do this to each side of your text, and you should have something like the image below. I applied the wind filter twice to each side, you can do it however many times you like depending on the size of your text.
Lets make the text stand out a bit more, choose Image > Adjustments > Brightness Contrast. Darken the image slightly and then up the contrast, yours should look like the image below.