A cold frame is a simple structure that uses the sun's energy and insulation to create a microclimate within your garden. You can harvest and eat a salad in March! Cold frames allow starting plants as much as six weeks before planting-out time.
S.E. Newman, Colorado State University Extension greenhouse crop specialist has this to say:
For an early start, sow seed in a cold frame and transplant it into the garden later Seed may be started as much as six weeks earlier than outdoors.
Locate the cold frame on the south side of a garage or dwelling. If built with a tight-fitting lid, the cold frame will hold sufficient heat from the sun to keep seed and seedlings warm at night. On warm, sunny days (50F or warmer), prop the lid open to prevent buildup of excessive heat. Close the lid in the late afternoon to trap enough heat for cold evenings.
If temperatures fall below 20F, an outdoor- type electric light may be placed in the box to produce enough heat to keep plants from freezing. Insulated drop cords are suitable for this purpose. One 60-watt incandescent bulb for every 12 cubic feet of cold frame space usually is suf cient. Electric heating cables are available at most garden supply stores.
As the season progresses, gradually expose the plants to longer periods of outside temperatures, as long as the air temperature does not go below 50F. Treated in this way, they develop into sturdier plants that are better able to adapt to fully-exposed garden conditions at transplant time. This is particularly true of the hardy annuals and biennials that prefer to develop in cooler temperatures: petunia, ageratum, lobelia, verbena, cabbage, broccoli and lettuce.
Here more information to get you started: CSU Fact Sheet Growing Plants From Seed
A cold frame can be as simple as building a box out of used lumber and placing used glass windows on top or they can be purchased from garden suppliers.
Here's a great video on how to make a cold frame from old windows.