On the Main menu:
Select Historical Battles
Once loaded in:
build a transport boat from the docks (already built) and place your villagers/berserkers in.
Once the boat is occupied head north-east (follow the small island you start on around until your reach the edge).
Then follow the edge of the map up until a in-game chat message appears about finding Greenland.
Once you find the Ice, unload your ship and send you units north along the map edge until you reach a smull clump of trees.
The penguin can be found on the edge of this wooded area - the achievement will pop as soon as you find it.