Double-click Snow to let it snow. This is version 1.0.0 beta, wich means it's rather new in this form. The whole process of letting it snow on your windows is rather CPU intensive. If you find Snow slows down your machine choose fewer snowflakes, no Santa, no tree or no Snow at all and that sort of thing. Snow does not know about icons on the desktop.
Snow punches a snowflake-shaped hole in that icon.
No harm will be done though. Snow runs fastest if it is selected as the frontmost application. If it runs in another application's background it will run notably slower. You can set preferences, the number of flakes, how fast they fall, Santa's speed limit etc. The preferences are read at startup.