When an ice cube is run along the back of your neck, it triggers a cold sensation that can lead to a reflex response in your body. This type of stimulus typically activates the erector muscles, which are small muscles at the base of hair follicles that contract in response to cold or fear, causing "goosebumps."
Your answer regarding sweat glands, melanocytes, or sebaceous glands does not directly correlate with the initial response to cold stimuli. Sweat glands are primarily activated by heat, melanocytes are involved in pigmentation of skin, and sebaceous glands secrete oil, which doesn't directly respond to cold.
So, the correct activation in this case would indeed be the erector muscles.