pbr549xxx,
I will assume that you got one of those spongy shoulder thingies with 2 removable ice packs or something similar that requires two people to strap it on you with velcro.
A simpler and cheap method that works fantastic for me (YMMV) is to use the 2 ice packs side-by-side in the bottom of a pillow case. Fold the excess material on one side of the packs and place it in the freezer. Get it out when you need it, and when you're finished put it back in the freezer....pillow case and all. The packs will lay on top and around the shoulder joint and you will feel the cold better.
If the PT gave you some exercises in addition to the pendulums to do at home...do them everyday. Don't let the joint get stiff and lock down. Onward and Upward.