Pilot was making an ILS approach to runway 20L with winds easterly at 12 with gusts to 20 kts. A wind check at the outer marker disclosed winds 100 deg at 8 kts, and tower authorized pilot to land on 20L or circle to runway 09 at his discretion. After a further wind check of 100 deg at 10 kts the pilot elected to land on 20L because of its length and the environmental conditions. As the aircraft passed over the numbers the tower issued winds from 100 deg at 17 kts. The aircraft touched down about 2800 ft down the 5001 ft icy runway. Power was applied for a go-around but the pilot felt that the maneuver could not be completed safely. He retarded the throttles and applied the brakes but could not stop the aircraft in the remaining runway length. In an attempt to turn off the runway onto the end taxiway the nose was yawed to the right and the airplane ran off the runway end in that attitude. The aircraft went partially down an embankment and the left gear collapsed.