Posted in another thread, by me-
When you land with your Snowboard, travel RIGHT FROM THE LONE TREE in the CENTRE of the area. This should eventually lead to a THREE PRONGED FORK IN THE ROAD, at which point you should travel UP to the HOT SPRINGS. Use the activation button (O) and use the HOT SPRINGS. Go LEFT into the GLACIER until you reach the CAVE. Now, with the CAVE ENTRANCE FACING THE FRONT OF THE SCREEN go RIGHT. When you arrive in the rocky area, there is a HOLE in the RIGHT HAND SIDE of the screen enter that and talk to Snow, whom you beat and obtain the ALEXANDER Materia.
This is, at least, how I remember the exact location of Snow herself.
:edit: Ultimate Weapon locations and ability descriptions-
Ultimate Weapon (Cloud) - Defeat Ultima Weapon - Weapon is HP based and will decrease in ATT as HP is lowered.
Missing Score (Barret) - When entering Midgar to defeat Hojo, take Barret with you, there is normally a chest you can't open, but Barret does and it's in there. If you've passed this point - you've missed the weapon - Weapon is AP based and will increase in ATT the more AP is attached to the Materia attached to Missing Score.
Premium Heart (Tifa) - Get the key to Sector 6 from Bone Village and re-enter Midgar, go to Wall Market and enter the shop with the broken item machine, it will give you Premium Heart when you activate it. - Weapon is Limit Bar dependant and will decrease in ATT the lower her Limit Bar.
Princess Guard (Aeris) - You get this in the Temple of the Ancients - Counts as a standard weapon in most respectes, powers up when other characters are low on HP.
Limited Moon (RedXIII) - On disc 3, visit Bugenhagen with RedXIII in your party and he will give RedXIII the Limited Moon - Weapon is MP dependant and will decrease in ATT the less MP RedXIII has.
Conformer (Yuffie) - Enter the sunken Gelinka Plane with your Submarine, goto the first room you come across, go down the stairs and into the far left corner, it should be in a hidden chest there - Weapon is MONSTER level dependant and will increase in ATT the higher level the opponent.
HP Shout (Cait Sith) - When entering Midgar to defeat Hojo, carry on going until you reach the Shrina building and go up towards the Gym, search the lockers and it'll be there - Weapon is HP dependant (IIRC) and will decrease in ATT the lower Cait Sith's HP.
Vincent (Death Penalty) - On Disc 2 find the hidden bay in your Submarine in the Nibel region, then put Vincent in your party and enter the waterfall, go back on Disc 3 and get the weapon and Limit Break there - Weapon is KILLS dependant and will increase in ATT the more kills Vincent has gained since the start of the game, including those done by Sephiroth in the past.
Venus Gospel (Cid) - After launching the rocket, hassle the guy again that gave you the Yoshiyuki sword (he's always looking at the rocket) and he'll give you this - Weapon is MP dependant and deceases in ATT the lower Cid's MP is.
Masamune (Sephiroth) - For those of you that cheat, this is the only weapon Sephiroth can "naturally" equip - Masamune ALWAYS does critical damage, but rarely ever does damage above 4000
LIMIT BREAKS
Omnislash (Cloud) - get 32,000 battle points in the battle arena at the Gold Saucer and purchase it.
Catastrophe (Barret) - Talk to the woman in the first house up the "stairs" in corel after Cid saves the town, she should give it to you then
Final Heaven (Tifa) - When Cloud has gotten his memory back, go back to Nibel and play the tune on the piano with Tifa in your party.
Great Gospel (Aeris) - Get the Mithril from the guy in the cave near the Chocobo Stables, you'll need to use the buggy on Disc1 then goto the guy that had the "Keystone" near Gold Saucer and give him that and then choose the SMALL box up the stairs.
Cosmo Memory (RedXIII) - Defeat the boss for opening the safe in the Shinra Mansion in Nibel.
All Creation (Yuffie) - Conquer the Gondola in Wutai and you'll get it there.
Slots (Cait Sith) - Keep playing until he gets his Level 2 Limit break. That's the 2nd and only other one he gets.
Chaos (Vincent) - Return to the hidden cave near Mt Nibel on Disc2
Highwind (Cid) - In the last room of the sunken plane, it'll be in a treasure chest.