Funny thing is, it probably isn't that cold.
I live in Nebraska but have vacationed in Scandinavia over a few winters. Nebraska gets much, much colder, sometimes tens of degrees below 0 F. As a result, we almost never see frost like this, because the air can't hold onto the moisture required to make it.
In Scandinavia, however, it gets barely a few degrees below freezing. Thick, thick fog (Silent Hill fog!) forms in the evenings and early mornings, which frosts everything with a thick layer of ice crystals. It looks absolutely gorgeous.