Cold frame gardening has been used for generations to extend the harvest season in home gardens. These gardens help retain heat and protect plants from the elements like snow, wind, and cold temperatures.
When to build your cold frame garden depends on how you want to use it. You may use them during every season, but since they have a variety of uses I would suggest getting started as soon as possible.
Depending on the time of year, you will have different plants inside your cold frame. In the spring, you will use it to help transition indoor seedlings to the outdoor climate.
To help you get started, take a look at the USDA's Plant Hardiness Zone Map. This map was designed to help gardeners figure out which plants will thrive in their respective regions.