That can be surprisingly difficult if your car is low on gas and you're in an isolated place. If you AREN'T low on gas, you run the engine and heat every hour or so, using care that the exhaust pipe doesn't get clogged.
Stay in the car. If nothing else, it's a shelter. If you aren't able to wait for help (which might happen if you're REALLY in the middle of nowhere without much hope of being rescued), try to burn one of your tires. It can attract attention and will help you keep your bearings for a while when you walk away. You can get some gas by cutting a fuel line, or even some oil from the engine, then use that to light a tire. The black smoke might bring help.
Vinyl from the car seats can waterproof your shoes. Car seat padding + anything hard and tied to your feet can be used to build makeshift snowshoes if you need them. The padding can also be used as insulation to help keep your head and body warm.
Leave a note in the car saying where you're headed. Hopefully you can see well enough to stay on the road.
Something like this happened in Northern California a few years ago. A family from San Francisco was driving to Oregon for Christmas and somehow wandered off the main highway onto a rural route that was effectively closed for the winter. When snow hit, they were stranded ten miles off the main highway, on a road nobody thought they'd be on.
As I recall, the husband set out to find help after a couple of days. He wound up being the only casualty, found dead only a few hundred yards from a hunting cabin he hadn't seen. The rest of the family was spotted by searchers after another week or so, and rescued.
| 
