Get medical attention as soon as possible. A persistent myth regarding exercising in the cold is that lungs can freeze when exposed to cold air for a long period of time. In fact, the human pulmonary system is extremely efficient at adapting to changing environmental conditions. Because inspired air is significantly warmed before it reaches the delicate smaller bronchi and other lung tissue, the danger of lung tissue freezing is very remote. To lessen the irritation of breathing in cold air, try wearing a scarf over your mouth or one of the more sophisticated cold weather facemasks.
Clothing provides protection from the elements by increasing the insulating capacity of the body.
It is best to dress in layers, so that clothing can be removed in an effort to rid the body of excess body heat. When Gary took off his parka and skied in his tee shirt he significantly reduced his body's insulation. Don't be forced to go from one extreme to another. Layering should start with a good set of synthetic long underwear, such as those made out of polypropylene. Polypropylene actually draws perspiration away from the skin so that evaporative cooling does not increase heat loss from the body.