ICBMs are primarily a Pre-TN weapon. If you are starting a TN start, I'd ignore them. If you are doing a conventional start, they can only target things on the same planet.
How do they work? Do you only need an ICBM launch control, or do you actually need to get a size 24 missile launcher and a huge magazine? I have simple launching bases with ICBM launch controls on a planet with tons of ICBMs, but I can't get them assigned to the fire control. Granted, there are no enemies to assign targets to.