A sprained ankle should be treated with ice. Even though heat feels better on the injury, it should not be used. The same applies for all acute musculoskeletal injuries, no matter where they are.

Ice constricts the blood vessels which aids in decreasing swelling and inflammation. Heat does the opposite and will increase the inflammatory reaction. That can actually increase the amount of swelling and pain. If you sprain your ankle, think 'RICE': Rest, Ice, Compression, and Elevation for the immediate treatment.