"Wiener" is a silly slang word for penis — it's often spelled "weiner", because elementary school kids aren't so big on spelling and it's not like they're gonna ask their teachers for correction — but it's spelled "Wiener" in the episode:
There are dozens (hundreds?) of slang words for male anatomy, but this one is pretty easy to trace. "Wiener" is from Wien, the German name for Vienna, and Vienna sausage (which is the progenitor of the US's hot dog) looks like this:
and I don't think we need to spell out how that led to the slang connection.
The (non-official) Futurama Infosphere transcript has Fry reacting by saying "Icy Wiener? Aw, crud! I always thought at this point in my life I'd be the one making the crank calls!" And, I just re-listened to that moment, and to my ear he clearly enunciates "icy", not "I see".
In any case, it's worth noting that even Fry groans. But, he wasn't always above this particular brand of humor, as he named his dog "Seymour Asses" — after giving the stray pizza left over from a previous prank call under that name.