First of all remember never try and attack Vexen from the front since he blocks with his sheild, but also he can hit you with it. The best thing to do is take it nice and slow, roll behind him and hit him twice, he usually attacks you the third time. If he uses the spell that shoots ice pillars towards you make sure you roll, run down a bit, roll left, go up a bit, etc. Rolling is a key part to beating him, the best time to attack him is when he's floating to the other side of the area, if you can catch him then you can do a good bit of damage. And remember not to slip on the ice, he can easily attack you then.
Hope that helped.