You obtain the Alexander materia in the Great Glacier. You must first touch the Hot Springs, and then find an enemy called "Snow".
To touch the Hot Springs, first look at your map. Find the snow-covered tree in the East. From here, go East until you reach the mountains, where the path splits into 3. Take the North-East route (rather than North-West or South) as then you can also find the "Added Cut" Support materia along the way.
After putting your hands in the Hot Springs, go to the huge snowy field where you can place markers. Keep going down until you reach a cave, laying markers to guide you, then head right, again laying markers to guide you. After a while you should reach a few screens of plain snowy areas, then a couple of icy paths, then a mountain path. A little down the path there should be a cave on the right.
Go into the cave and talk to Snow - the "Ice Lady". She will be annoyed that you just touched the Hot Springs, and you will fight her. Defeat her, and she will drop the Alexander materia. You can also steal a rare "Circlet" accessory from her.
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