I had some issues getting this by randomly blanketing the level with snow (the ball kept ricocheting out), so here's the surefire way to get this one.
1. Start the CloudOut level.
2. Dump a bunch of snow (
) on either side of the snowballed guy (a.k.a. the ball).
3. Move Cloudy just to the left or right side of the ball (look at Cloudy's shadow to aim), then zap the ball with Thunder (
Here's a video guide: