Hi! In my opinion you can learn without ICE too. You can use microcontroller like AT89S8252 with SPI ability, program it "in-circuit" and test your solution. ISP doungle (this is kind of interface to program "in-circuit") is easy to do, you need only 74LS244 circuit. I am not sure, but PonyProg is free of charge and you can download it through net (it is the software for ISP doungle). And if not, you can find other software. You can also download (in example) Raisonance software from its web site and write up to 4kB of code in C and Assembler.
In my opinion, this is difficult to built your own ICE if you are just begining and you really don't need this...

Jacek