You know you are a true all-weather golfer when you have to contend with these items. Frost is not a loose impediment and this means that it cannot be removed from your ball, or from your line of play or line of putt. However, you can remove frost from the teeing ground.
On the other hand, you can choose to treat snow and natural ice either as loose impediments or casual water. By treating snow and natural ice as loose impediments, they can be removed from anywhere on the course other than in a bunker or water hazard. By treating them as casual water, relief is available in accordance with Rule 25-1, but this explicity excludes a ball lying in a water hazard.
AND FINALLY - If all this talk of casual water, snow and ice is dampening your enthusiasm for winter golf, please be assured that it is permissible to use a hand warmer, although Decision 14-3/13.5 does state that it is a breach of the Rules to artificially warm your balls during the round!! (From Golf Monthly)