We had snow ball fights and made snow
angels. Walking in the snow
is hard work. You could even teach her how to snow
shoe - that is one of the hardest workouts in the world but lots of children love it.
If you have a mountain nearby, you can take your child tubing, teach him/her to ski, ect.
When it's just cold out, we liked to go for walks outside, stomping on the crystalized dirt. Kids generally aren't the same as adults when it comes to temperature.