By default, the initial state of a simulation is the result of the construction stack regions below the Simulation region on the first frame that the simulation environment is active. While the simulation is active, the lower regions are not re-evaluated. Because the first frame of the simulation is the initial state, if you are emitting particles in the Simulation region then they will appear on the next frame.
When you're working with ICE particle or rigid body simulations, you often need to have a certain state of the simulation be the first frame of the simulation, such as a candle already burning or rigid bodies already in a settled state. Instead of computing a pre-roll simulation to arrive at the correct state for the beginning, you can select any frame in an existing simulation and use that as the initial state. The initial state includes the number of particles that are already emitted at the start of simulation along with their properties.
An initial state is set for this candle so that it is already burning at the first frame of the simulation.
To create an initial state, you must first create a simulation and set it up to your liking. Then you can go to any frame of the simulation and capture it to be the initial state of that simulation. That state is stored and used as the beginning of the simulation the next time you play it. The rest of the simulation continues from that point as it did in the original simulation time frame.
Create an ICE particle or rigid body simulation as you like.
Go to the frame that you want to set as the initial state. This will be the frame that is played before the first frame of the resulting simulation when played back.
Select the point cloud and choose Particles 
Simulation Set Initial State from the ICE toolbar.
The Set Initial State command sets the initial state of a simulation by disconnecting the Simulated ICETree node so that it is not a part of the construction stack anymore, freezing the stack (which deletes all operators in the stack), and then reconnecting the Simulated ICETree node back into the Simulation region in the stack, all without you seeing anything.
This state is stored and used when the simulation starts instead of the top of the Animation region.
You can repeat these steps to change the initial state using different frames.
Play the simulation. The frame that you set as the initial state is not used as the first frame of the resulting simulation, but is actually the frame before the first frame.
For example, let's say that you create a simulation starting at frame 1, then stop it at frame 50 and set that frame as the initial state. Then when you play back the simulation (using the initial state) and go to frame 1, you will see a little simulation step between the frame you set as the initial state (frame 50) and frame 1. Frame 1, in this case, is the frame that is one step after the initial state frame you set.