The Freeze Ray was a weapon invented by the Trio. It was gun that could fire a stream of ice, freezing the target in place.
The Trio used it to incapacitate the security guard when they broke into the museum to steal the Illuminata. Since at the time it was only a prototype, Jonathan, the one who fired the weapon, ended having his forearm stuck to the weapon due to the resulting frost. Warren just dismissed it and claimed that his arm would defrost after several days (though he appeared to recover later that night).
Gallery
Jonathan using the Freeze Ray
The guard frozen
Jonathan's arm is frozen as a result.