How is it works? When a bullet is fired, it has forward momentum and rotational momentum. A bullet that impact on ice will cause that bullet to lose most if not all of it's forward momentum without losing much of it's rotational momentum (given that if you shot at right angle). After the bullet lands, i will continues to spin for several seconds until lose it's all rotational momentum.
|It's real bullet spinning like a top on ice surface|
Although, it's awesome to see a bullet dancing ballet on ice, please don't attempt to do this at anywhere as you might get hurt or kill by a bullet. If you want to see how Mythbusters to prove this myth is real, you can download the video here.