The reason they hand out tickets is there is no way they can seat a huge amount of people at once. They will have a few days, evenings where they put on the ice show. They will announce when you can go to the shore excursion desk and pick them up, on Explorer it was 2 days into the cruise before this happened. We were able to get tickets, no problem. Do go as soon as you can, lots of spaces do fill up and we had to go on a night and miss another show, but don't panic, you'll be able to see it, well worth it, it was great! They are free.
Three important keys:
1) The show is GREAT! Don't miss it. It constantly gets great reviews. I haven't heard a negative yet.
2) It is offered multiple times during the cruise.
3) Tickets are available in front of the rink various times during the cruise. Be sure to find the times in your daily Compass (daily itinerary of ship activities/times) Give yourself at least 2 timeslots to attend, because they do fill up (it is free of charge).
3a) It is really good, so you may want to see it more than once. Don't get tickets for 2 shows, but just show up for the second show and see if they are full, if not, just walk on in!