Frostbite is when your skin literally freezes. It is most common on the bits that stick out and chill faster: fingers, toes, nose, ears, chin, and also cheeks (thin walls of flesh).
The rampant cell necrosis can cause these areas—and the underlying flesh—to die completely, and you can lose those parts of your body.
There is first aid for frostbite (and its milder, early-stage cousin, frostnip), but either way you need to get to the hospital as soon as possible for further treatment.
But first: check for hypothermia.
If you are cold enough to get frostbite, you might also be entering hypothermia, which is of far greater concern because it can kill you. The first rule of first aid triage is to treat the most life-threatening injury first. Better to lose a few fingers than your life.