Your pet should be able to get out of the wind, rain, and direct sunlight year round. This does not necessarily mean having a dog house, but something with multiple sides and a roof. Some type of loose bedding that your pet can form around him/her is important in the winter months, fresh dry straw is an excellent choice for bedding in the winter for your pet.
Always make sure your pet has access to food and fresh water, using a heated water bowl in the winter is a great tool to keep your pets water from freezing.