You never know what kind of weather we get from day to day in winter. It can be melting one day & then back down to -30 celcius within a few days. Winnipegers have to be a hardy bunch.
Here is a picture that I dug up from the winter blizzard of 1986. I was on of the worst snow storms that we had in a decade. I lived in a small town just outside of Winnipeg at the time & unfortunately did not yet have a garage built to shelter my car. It took me half a day to shovel my driveway that was covered by 4 feet of hard packed snow. All you could see of my car was the top of the radio antenna sticking out of the snowbank, everything else was completely barried in the snowbank. At least usually when we get storms, they don't last very long or end up not dumping to much snow. This one was different & brought everything to a halt.
It can get extremely cold in Winnipeg. When this happens, advisories are issued to avoid outdoor activities if possible. Dress warmly in the winter, especially if you are going to be outside for long periods of time. I have never experienced cold like this before and it's no joke - bundle up! If you will be in Winnipeg for some time, I highly recommend purchasing a good quality down-filled coat (those $70 down-filled coats are not going to do the job), preferably to the knees or longer, as well as some good winter boots, warm gloves, etc. Mine is from Eddie Bower and it has kept me wonderfully warm all winter; sometimes even too warm! If you dress appropriately (which many people don't), the winter can be entirely tolerable and even enjoyable.
If you're not used to very cold weather, Winnipeg, from mid-November to mid-March can be dangerous. If the weather is cold, put on enough clothing to keep you warm or you may aquire frostbite. If you are driving, do not drive quickly because there's a good chance your car will skid out of control and hit a traffic light!
If you think -20°C is cold, do not come to Winnipeg in the winter. Average winter temperatures can be anywhere from -20°C to -28°C, though as low as -40°C is rarer but not unheard of. If you still need to visit for some reason, here are some tips.
The good news is there's plenty of opportunities for outdoor winter sports if you're into that sort of thing -- the bad news is wind chill. Do not underestimate the power of a wind chill. Always check the weather before going out, and be sure to dress appropriately. Not covering exposed skin on a particularly cold day will invite frostbite, which is extremely painful!
If you're not an experienced winter driver it's not recommended that you go driving around alone heedlessly. Snowbanks are not as soft as they look! Use public transportation or get someone more experienced you know to drive, because sliding around isn't the only danger.
When snow takes on a sand-like texture, if the wind picks up, blowing it across roads, it can create whiteouts. All you see out your windows is a surreal, flat, white. If you have never been in one before, and are not confident driving on slippery surfaces, you are probably going to freak out. If you get caught in one, go as slow as possible and always be on the lookout for other vehicles and obstacles. If you're really lucky it will pass quickly or be thin enough that you will be able to see tail and headlights of other vehicles. If you can see a painted line on the road, stick to it so you don't drive off into a ditch. Never use your hi-beams, it will just reflect off more snow and make it even harder to see. If you can stop, get off the road and put your hazard lights on. Getting out of your car in a whiteout is extremely dangerous, because if another vehicle comes along they will probably not see you. If you go too far out you could get lost and suffer from exposure.
Once you've survived a winter here, you can go to places like Ottawa or Toronto in the winter and wear shorts (exaggeration, not recommended!).