HERE’S THE RATIONALE THAT propelled my friend Rylee and I to look for something called the Minnesota Iceman in Wisconsin: clearly he is (or they are) on the lam, but he’d also probably be homesick, so he wouldn’t be too far from home. He’d want to be somewhere he could hide among the trees, and near a water source. He could be anywhere, so he might as well be in Willow River State Park, just across the state line and the St. Croix River.

It’s hard to prepare for something like an open-ended nature search for something that was possibly a lifeless rubber suit 40 years ago, but you’ll want to start with a first-aid kit—for the potential loss of limbs. A ruler and a magnifying glass are also crucial—for tracking. We also packed notebooks, granola bars, and a hollow chocolate turkey, leftover from Thanksgiving, which we figured was a decent meat substitute and an attractive piece of bait. I brought a blush brush, too, ostensibly to dust for fingerprints, but in retrospect that just seems silly.

We get to the park two hours before sundown, and the trail of cars leaving the reserve as we drive in lends an appreciated sense of foreboding to our mission. There are four or five inches of packed snow crunching beneath our wheels. I see a moving figure behind the trees ahead and say, “Oh, there he is.” It turns out to be a normal human skier, probably. Rylee pulls the car into the next lot, and we get out and into the single-digit chill.

There are a handful of paths to take, but we follow a narrow, lesser-trodden one into the forest. Rylee occasionally asks our target to reveal himself (“...Iceman?”), and each time she does I almost expect a head to pop up from a fallen log and say, “Hey!” Instead, we keep plodding through the snow, noting a couple of “unusual” markings: a snow print that looks claw-like and a dead tree with a chunk of bark torn out of it. “That’s a sign of an Iceman if I ever saw one,” says Rylee. It’s true: as far as all that I’ve ever seen goes, this is as much an indicator of the presence of a Midwestern Yeti as anything else.

Deeper into the forest, we start seeing handfuls of trees sprayed with red paint, mostly in neat lines but in some cases splattered wildly like blood. Even though I know it’s fake—too bright and garish to look close to real—I still lean in close to make sure. It’s not that I’d attribute that kind of carnage to the Iceman anyway; I’ve seen the pictures. He looks like he was a nice, calm guy. Look at the way he’s thrown one hand over his head, the other resting on his belly. Even he doesn’t look like he cares whether or not he’s real, and even less what we think. You have to respect someone with that kind of confidence.

Katie Heaney is a writer based in Minneapolis. She has a memoir coming out in early 2014.