A frigidarium is a large cold pool at the Roman baths. When entering the bath house, one would go through the apodyterium, where they would store their clothes. After the caldarium and the tepidarium, which were used to open the pores of the skin, the frigidarium would be reached. The cold water would close the pores. There would be a small pool of cold water or sometimes a large swimming pool. The water could be also kept cold by using snow.

The frigidarium was usually located on the northern side of the baths. The largest examples of frigidarium were both in Rome: that of the Baths of Caracalla, located soon after the entrance, measures 58 x 24 m, and that of the Baths of Diocletian, covered by a cross vault. Some, like one in Pompeii, had a circular plan.

More Info: en.wikipedia.org