It takes practice and determination. Remember that in Minnesota, they have a saying: There's no bad weather, only bad clothing.

Learn what clothing you need for each range of temperatures. When you're out there and get cold, pay very close attention to where, exactly, on your body, you feel it. For example, you could feel a general unpleasant cold feeling, but if you pay attention, you'll notice that you need a scarf or something like that.

Try to find your limit. For example, I used to have a rule for myself that I wouldn't ride when there was snow or ice on the ground. Nowadays, my rule is that if it's under 25º, I won't be on the bike for more than 30 minutes.

The more you practice winter riding, the better you get at it. You can increase your toughness if you want, but again, it takes determination. In the last couple of winters, I did succeed at getting tough to it. At a certain point, people thought I was nuts for being out there when it was below 25º and blowing hard. But I was perfectly dressed, and I didn't even feel it. It just didn't feel remarkable to me.

Two big helps were my giant scarf and my goggles. I use regular cheap carpenter's goggles, which keeps the wind out of my eyes. I wrap my scarf around my neck and face. Also, I rubbed the exposed parts of my face with Vaseline, which also reduced the wind's sting.

There is a Winter Cycling section of bikeforums, which you should check out. Plus if you do a web search on "winter cycling" you'll probably get a wealth of information.