My Dahon Cadenza has a cartridge headset where the vertical pressure is applied via a thick chunk of elastomere It got down to -10C last night and at the end of a ride this morning the headset was a bit loose. I think the elastomere froze up.
A few of our Canadian friends like to add a touch of motocycle oil to their bearing surfaces in winter. Since elastomer sounds like rubber to me (http://en.wikipedia.org/wiki/Elastomer) maybe that wouldn't even work for you.
What ever happened to loose ball bearing headsets?
Yes its a rubbery thing with a metal base washer about 1.5" high. It is a press fit onto the steerer then tightened in the usual threadless manner. You can see it in the linked picture. Its becoming quite a common style on hybrids with integrated headsets, mainly because it is cheap and easy to assemble.
My other freezeup was an Alfine hub gear. Below -10C the grease gets too solid to switch gears, Fortunately it was stuck in 3 which is a middling one. I will have to switch to oil lube if these cold winters continue.