A key aspect for understanding the biological and biochemical environment of subglacial waters, on Earth or other planets and moons in the Solar system, is the analysis of material embedded in or underneath icy layers on the surface. In particular the Antarctic lakes (most prominently Lake Vostok) but also the icy crust of Jupiter's moon Europa or the polar caps of Mars require such investigation. One possible technique to penetrate thick ice layers with small and reliable probes is by melting, which does not require the heavy, complex and expensive equipment of a drilling rig. While melting probes have successfully been used for terrestrial applications e.g. in Antarctic ice, their performance in vacuum is different and theory needs confirmation by tests. Thus, a vacuum chamber has been used to perform a series of melting tests in cold (liquid nitrogen cooled) water ice samples. The feasibility of the method was demonstrated and the energy demand for a space mission could be estimated. Due to the high energy demand in case of extraterrestrial application (e.g. Europa or polar caps of Mars), only heating with radioactive isotopes seems feasible for reaching greater depths. The necessary power is driven by the desired penetration velocity (approximately linearly) and the dimensions of the probe (proportional to the cross section). In comparison to traditional drilling techniques the application of a melting probe for exploration of Antarctic lakes offers the advantage that biological contamination is minimized, since the Probe can be sterilized and the melting channel freezes immediately after the probe's passage, inhibiting exchange with the surface layers and the atmosphere. In order to understand the physical and chemical nature of the ice layers, as well as for analysing the underlying water body, a melting probe needs to be equipped with a suite of scientific instruments that are capable of e.g. determining the chemical and isotopic composition of the embedded or dissolved materials.