Seasons are caused by the tilt of the Earth. When your hemisphere is tilted towards the Sun, it is closer to it and results in longer days and warmer temperatures. Winter occurs when it is pointed away from the Sun, and causes by the shorter days and further distance from the Sun.
There are also seasonal weather patterns which may have an effect, such as the El Niño and La Niña ocean current in the Pacific ocean, which produce warmer and colder weather respectively.

Just because winter is cold, doesn't mean the world isn't warming, but changing weather patterns are considered the primary effect of global warming, which is why many have begun using the term 'climate change' instead, to emphasize the drought, flooding, monsoons, higher temperatures, and other more extreme weather conditions that it seems to exacerbate.
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