What does this icon do in dota 2?

What is the Icon above Spell Steal? And how come I don't have that on my DotA?

Solution 1:

This icon is a special item that was collectible at the Greeveling event via dropping. Those items are called Action Item. This item itself is called Fistful of Snowballs.

Those can be used if you set your Use Action Item key.

Those items do nothing besides some visual stuff. They use charges for that.

There is also a Kindler's Kit and a Pile of Coal.

More info on DotA2 Wiki

Solution 2:

If you have equipped usable cosmetic items (Fistful of Snowballs,Pile of Coal or Kindler's Kit) in your inventory,then in game you will have that button to use them and see how many you have left.

In this case the player equipped the "Fistful of Snowballs" item and you can use it in game to throw a snowball at another player.

Items like this have limited number of charges to be used and are just for visual preference.You usually use them to scare and confuse people that never saw them.

Here you can see alchemist throwing coal at other players.