Normally, a solid will melt into a liquid, and then the liquid will evaporate into a gas. Dry ice is special because it skips the liquid phase: it is a solid that sublimates into a gas.

Why does dry ice sublimate instead of melting? It's because at room temperature and normal pressure (atmospheric pressure), carbon dioxide is usually a gas. So when you take dry ice (solid carbon dioxide) and expose it to this temperature and pressure, it will try to return to the gas phase.

If you specify a temperature and a pressure, we can tell what phase of a substance is stable there (solid, liquid, or gas) using a phase diagram, like this one for carbon dioxide . From the diagram you can see that at room temperature (T = 273 Kelvin) and atmospheric pressure (P = 1 bar), carbon dioxide is a gas. But if we went to a much higher pressure, say P = 100 bar, carbon dioxide would be a liquid. At that pressure, dry ice would melt!