Birds migrate, but there are definitely some that do not. I live in Canada and I frequently see all kinds of birds during the winter in my yard.

Birds that choose to stay in the cold climate during the winter have behavioral and physical adaptations that help them survive. An example of a behavioral adaptation is one called Torpor which is when the metabolism in the bird slows down, the body temperature lowers, and the heart rate reduces to conserve energy.

Birds also grow additional feathers to stay warm, as well as fluffing for better insulation (this creates air pockets between the feathers and skin to retain heat). Birds can also shiver to maintain a temperature of about 106-109 degrees. Huddling/cuddling together also keeps them warm.

They can sleep anywhere from snow drifts (grousse do this) to hallowed out trees. Humans do help with providing bird boxes and such.

Here a link of birds spotted in Ottawa during the winter.
http://www.canada.com/ottawacitizen/features/birds/story.html?id=ef527b5f-839b-4444-bcf7-5bb98d86e62a&k=23459

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