The goal of the Phase I part of this clinical research study is to find the highest tolerable dose of the drug Yervoy (ipilimumab) that can be given with the drugs Intron-A (interferon alfa-2b) and Proleukin (aldesleukin, IL-2) to patients with metastatic melanoma. The safety of this combination will also be studied in Phase I. The goal of Phase II is to learn if this combination can help to control metastatic melanoma.