ICSP is basically "in circuit serial programming" which allows you to upload software to your MCU without having to pull it out every time.
So if you are pulling your MCU out each time you want to update the software on it and putting it into a programmer, or if you are just testing out your MCU and don't know what you're going to do with it yet, you can add the ICSP pins. If you have tried this before, but can't programme it, I will also tell you how to fix that from my own experience. If that isn't enough feel free to comment and I'll help you as best as I can!
By writing this Instructable (my first, by the way), I assume you have completed an instructable such as the following: http://www.instructables.com/id/Perfboard-Hackduino-Arduino-compatible-circuit/ - thanks jmsaavedra! This should, however, be compatible with any kind of breadboard-connected MCU or any other set up you have, too.
This Instructable tells you how to add a 6-pin ICSP header. The 10-pin header doesn't really add anything in ICSP mode. In step 3 you can also see the pinout for the 2x5 header, which works just the same. All you'd have to do is connect slightly differently - just follow the image and it'll work fine.
Below you will see my slightly unorganised remotecontrol repeater, but hey, it works :)
I'm a bit new to the world of electronics, so if you find a mistake please feel free to comment!