They probably drink the snow since that water is highly salted no? It is an Ocean and all. I assume the snow has more actual wet than salt. Oh, hell I don't know.

The emperor penguin is a bird, but it cannot fly. Penguins have not been able to fly for millions of years. Although there are seventeen different kinds of penguins, they all have black backs and white bellies. The patterns of color around their head and neck are what make them look different. The largest penguin is the emperor penguin. It can grow to be over 4 feet tall and weigh up to 100 pounds. The smallest penguin is the little blue penguin. It is only one foot tall. Over millions of years, penguins’ wings have turned into flippers because they have spent so much time in the water. Penguins do not need their wings to fly, but they do need them to swim. Penguins have strong muscles in their flippers and can swim very fast. They use their tails and feet to steer themselves underwater. They also jump out of the water to get a breath of air every minute or so. Although penguins look like they have a very smooth body, they actually have lots and lots of small feathers all over them. The feathers are very stiff. They make the penguin’s coat waterproof. Penguins also have thick layers of blubber under their skin to keep them warm in the cold waters of the Antarctic. On land, penguins cannot fly, but they can jump. They jump in and out of the water and climb over the ice and rocks. When penguins want to get somewhere in a big hurry, they slide over the ice on their bellies. This is called toboganning. When they walk, penguins seem to waddle because of their long bodies and short legs. Return to top Habitat There are no penguins at the North Pole. All penguins live in the southern hemisphere. They live in the waters around Antarctica, New Zealand, Australia, and the Galapagos Islands. They live in the sea and on the ice. Return to top Food Since penguins live mostly in the water, it is not surprising that their main source of food is the sea. Penguins eat fish and other creatures in the ocean. They dive to get their food underwater and eat what they catch. Penguins like to eat fish, squid, crustaceans (shrimp and crabs), and especially krill. Return to top Predators Seals, sea lions, sharks, and killer whales are the penguin's predators. The leopard seal is especially fond of eating penguins. Although these animals are enemies of the penguin at sea, they usually don’t bother it on land. Birds, such as the giant petrel, brown skua, gull, and sheathbill, eat penguin eggs and attack penguin chicks, but they don’t hurt adult penguins. People can be enemies of the penguin too. If fishing boats catch too many fish in the waters where the penguins live, there is not enough fish for the penguins to eat. Oil spills are also a danger to penguins. The oil coats the penguins’ feathers and makes them lose their waterproofing. Laws to help protect the penguins from harm by humans have been passed in recent years. Return to top Reproduction Millions of penguins swim ashore and gather

Here's an answer from Wiki, apparently they drink both fresh and salt water: http://wiki.answers.com/Q/What_do_penguins_drink

Did you ever wonder where the word Icee came from? The penguins.