Horses in the wild usually do alright in the cold weather; they've survived that way for thousands of years on their own and will continue to survive extreme weather, however, domesticated horses need special care to not only keep them safe, but comfortable during the harsh winter months.
Horses are like members of the family, there's no reason they have to rough it like horses in the wild.
When it gets really cold outside, of course water freezes, and you want to make sure your horse has fresh water to drink, not big block of ice to lick.
Actually even if the water is just really cold, not necessarily frozen, your horse will tend to shy away from it, as they don't like to drink really cold water.
Make sure to change your horse's water bucket often in the winter, and bring out warm water so it will take longer for the cold to get to it.
Horses need to graze even during the winter to get their roughage, so they can't stay cooped up in the barn the whole time.
When it's snowing or raining out, make sure your horse has a canvas blanket or some other type of water proof cover.
During cold weather a lined blanket is even better.
During freezing weather, you want to make sure and check your horse's feet to make sure ice isn't building up.
A good trick to ice-proof their feet is to spray some WD-40 on the bottom.
Many ranchers will attest that this is great for keeping ice buildup away! Finally, make sure your horse has some good quality feed with high fat and high protein.
Horses need extra energy to keep their bodies warm during the winter so make sure they have plenty to keep their bellies full.