All right, I wrote this in an old faq. I think this will help you.
To get the Alexander Materia,
you must first go to the screen with the hot springs. Move toward the lake and
touch the water, which is warm. Now, go to the top of the map. When you are at
the snowfield area (where you can place markers), keep heading west (west
before the first rotation), and follow your path as necessary. If you want, go
to the cave in the middle to get an All Materia. Once the screen fades as you
reach the end of the snowfield, make sure Cloud enters the screen from the
left, and the path goes to the right. If not, exit and try again. Follow the
path all the way until you reach a screen with a cave. Enter it to find a
purple woman. Talk to hear and she scowls at you for touching the hot springs.
She will then fight you as a boss (Snow). Just have Elemental+Ice or Ice Rings
ready just in case, but you probably won't need to bother anyway, as she only
has 4000 HP. Her attacks are nearly all ice-based, except for Fascination,
which charms one character into attacking his own allies. Just attack the
affected character (physical) and he'll snap out of it.
Lets live together, I don't know how long it will last, but it doesn't have to be for show, together, till death do us part. - Kenshin "Shinta" Himura - Rurouni Kenshin