As others have pointed out, this is both cost prohibitive and difficult from the bottom of a gravity well like Earth. As Kirkwood suggested the best plan is to get available water/ice someplace else in the solar system and deliver it to the Moon. A comet is a clear possibility, but there would be huge energy management issues. Those suckers are moving and getting one to impact without messing things up would be a trick.
I've read a good bit about the expected composiition of the asteroids in the main asteroid belt and there's supposed to be a lot of recoverable water/ice there. Getting out to the asteroids should actually be easier than landing on Mars. I think we'll do the belt first, then think about whether we really need to bother with Mars, except for scientific purposes. There's supposed to be a lot more in the belt that should be easy to recover, including lots of elements we may need alternative sources for as more and more terestrial resources get used up or, more likely, locked up by environmental regulations or our political or economic rivals. And there are supposed to be both precious metals (gold, platinum) and exotic elements, even things we've only made small quantities of in labs, in abundance. I want us to go there ASAP and I think that's where the commercial ventures with vision will first strike it rich.
Plus, once we get the knack of going out there and moving those rocks around they will make dandy presents to drop on those political and economic rivals. Particularly the big iron ones, with just the right targeting equipment. "Smart rocks," in other words. They make really pretty holes and there's no nasty radiation to bother everyone.
Smaller, shaped objects (perhaps made of tungsten) would be better, because they could be parked in their orbits such that the timing, trajectory, and targeting would be perfect, one behind the other. Despite no radiation, large impacts have much the same deleterious effect on climate.