I "second" miscortes' suggestions, and think that having something to look forward to each week, as well as monthly, is a great idea. Think back to the summer: what were you looking forward to when you thought about the winter season? Do you enjoy winter outdoor activities?
CNN had an interesting article about beating the winter blues, and reported that research has shown to "watch movies featuring warm, sunny, summery climates" that the "winter depressives" show "demonstrable improvements in mood"! They even offered a movie suggestion: Lawrence of Arabia.
Along the same line...have you tried visual imagery? It is a wonderful mood enhancer and stress reliever. You can visualize yourself in your favorite warm climate, and use all of your senses in your imagery. For example, if your visualizing the beach, make sure you smell the ocean air, hear the waves, feel the warmth of the sun, taste the salt water. This can be done in 15-30 minute increments in the morning or evening, and has been shown to have positive effects on stress and mood.
Keep seeing your friends now that the holidays are over, watch some movies cuddled up under blankets with a loved one, be sure to get outside when possible, and do some social networking online if you feel lonely. You could also save up during the warm months for a weekly treat for yourself during the cold months, including a manicure/pedicure or massage. Lastly, you could use this time to try something new or start a hobby that you've always been curious about.
Tell us what you decide to try!