How do people run in cold weather?

I like to run. But I have not ran sense maybe September. When I try to run in the cold my lungs hurt too much. I see other people out running in the snow. How do they do it? Is there a trick to get yourself used to the cold? I lost a lot of weight this year but sense December I’ve gained almost 10 lbs. I need to keep it off. It is a big deal to me.