Hi Melissa,
This is another great question. Mercury does not really have an atmosphere, so it is a lot like our Moon. The side of Mercury that is in sun light gets very hot - hot enough to melt lead. The night side of Mercury gets extremely cold, about -270 degrees Fahrenheit. Powerful radio telescopes on Earth have observed signatures inside craters near Mercury's geographic poles that appear to be consistent with ice. Recent unmanned spacecraft sent to study the Earth's Moon have found that near the Moon's geographic poles, parts of deep craters may be permanently in shadow and are cold enough for ice to exist. The situation on Mercury appears to be similar. The MESSENGER mission, which is currently on its way to Mercury will hopefully give us a definite answer about whether or not ice exists on Mercury. For more information:
http://www.nrao.edu/pr/2000/vla20/background/mercuryice/
http://messenger.jhuapl.edu/
Kris