Weather gets cold starting in October -- maybe earlier.
In October 2003, I visited Winnipeg for the first time, and my last day there was so much snow that my shuttle van had a tough time getting to the airport.
So - beware - Winter starts early here!
Unique Suggestions: Bring ice treads for shoes, balaklava for your head, parka with fur ruff, windstopping warm gloves, long underwear, etc.
Snowshoes would not be a bad idea...
Fun Alternatives: Visit Winnipeg in September, or May/June.