Our cows always have access to some sort of a windbreak, trees, windbreak fence, coulee etc. And, that is it. Well, that and if it is really, really cold we feed them extra.
For calving time we have a barn. If it is below -10 C we do our best to bring cows in before calving and if we miss one, we bring it in as soon as we see it, usually. Depends somewhat on how it is doing outside. Oh, the barn is not heated either, one reason that when it is cold we try to have a few cows inside. More work, but it can warm the barn by 10 or more degrees (C)