What to do with a frozen bike? My bike was outside and it snowed. I thought it was ok because it was undercover but the tarp broke and now my bike is covered in snow. 

I had 3 locks on it, 2 of them came off but one is frozen. I moved it inside now and am wondering what I should do? 

I want to protect the bike from rust and corrosion. I'll start by knocking the snow off it, then wiping it down with a rag. I have a space heater that blows hot air I can point at it. Any parts in particular I should look out for, like cleaning the chain? It's a road bike.
Let it air dry (and/or wipe it dry as much as you can) and move on with your life. Don't put it near a heater, cause that isn't good for the rubber stuff. Re-lube the chain. 

What gets you in winter is not so much the snow/ice, but the salt (which doesn't affect your bike if its just standing there). In this case, if you have the time and space to bring the bike in for a prolonged period of time (say, overnight), you can wipe down the frame with a damp cloth, maybe clean+lube the chain and drivetrain and other parts you would do routinely (e.g. brake pivots if you're using V-brakes; I usually have to take the v-brakes off and clean the posts and what not at least a few times in a winter). 

Also, note that you can't rust out an aluminum bike, and this shouldn't really have caused a problem for a steel bike. A lot of people have bikes (steel or otherwise) which they leave out through winters and salt and survive fine for decades.