Dear sir or Ma'am,
It sounds what you are looking for is a cloak made from the fur of a winter wolf - it lives in cold climates, so it uniquely suited for such a cloak; it is sometimes referred to as a cloak of the North. Alternatively, if you are looking fro truly strong protection against cold, I could craft for you a full suit of polar bear leathers.
Please send me a note by falcon or post here if you would like to arrange a fitting.
~Drexia
//The cloak gives +5 saves v. cold, the armor give 20/- v. cold damage. Neither of these items (nor any item in the game) will protect you from the mechanical, environmental effects of cold weather (the loss of dex and movement speed, however).