Once you engage him little frost orbs will fly around the room, if you kill them they drop down and leave an area called Permafrost.
If you put his big adds on the permafrost they wont burrow underground so you can kill them.
Once Anub'Arak goes underground he will follow someone with spikes sticking out of the ground. If you stand on a permafrost he can't hit you, but the permafrost will disapear once it's hit.
At 30% he releases a swarm on the raid draining health and returning it to him, at this part you nuke him down as fast as you can.