Ice pick headaches generally occur without other symptoms, and studies have not directly confirmed a link between them and any sort of neurological disorder. This makes identifying a cause tough, since ice pick headaches are usually considered a diagnosis in themselves, and not a symptom of something larger.
Some studies have suggested a link to cranial trauma, cranial lesions, blood vessel disease, or even herpes, but nothing is for certain. If you are concerned your ice pick headaches are the result of a more dangerous disorder, you should never hesitate to contact your doctor, if possible. Similarly, if your ice pick headaches seem to be the cause of additional ills, such as nausea, vomiting, or vision impairments, definitely seek out a health professional for their advice.