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You must find an appropriate spot to set up camp. If it is very cold, you probably won't have to worry as much about people or animals disturbing you. You should try to find a spot which is, firstly, sheltered by the wind, and secondly, sheltered from above, such as by trees. Once you have found an optimal spot, you might want to start a fire. This will provide heat and light. You should learn how to start a fire before leaving. I have met some people who have used gas lamps successfully, keeping them inside their tent for extra warmth (not recommended unless the situation is desperate). Once this is done, you can start clearing away snow, if there is any. You should not to use your hands or clothes, try to find an instrument that can clear the snow aside. Piling the snow around to form a wall will provide more insulation.