Montana has Winter, variably, from about late November to late February to mid March, depending on the elevation, and the year.
But the mountain valleys are actually semi-arid, and get relatively little snow, and only 10-20 inches of precipitation per year. The mountains get a lot of snow, and the runoff furnishes much of the state's water. The mountain valleys are where most people live, except for Billings and Great Falls. Even in areas with abundant wind, such as around Ennis, Livingston and the Yellowstone valley, along the Rocky Mountain Front, and across the high plains, if you have trees and hills, you can find some shelter from the winds. You can always tell a Californian. They build on top of a high hill, for the great view, then wonder why they can't keep their windows from blowing out.
Montana has a lot a microclimates. If you are going to move here, I recommend you rent a room or bring a travel trailer or motorhome, and do some serious investigating before you buy a rural property. Think about such things as road access year round, Winter snow and who's going to plow the road, Spring mud, wind, electricity availability, well drilled or not,and local climate zones for gardening (the Gallatin valley has a lot of local gardening microclimates).
The cold is generally a drier cold than normally seen in the upper midwest or northeast, or anywhere the humidity is high when it is cold. If it is really cold in Montana, double-digits below zero, it will be a dry cold, and I don't find it to be really uncomfortable, but you do have to treat it with respect. Especially if there is wind, but often it is dead still, with ice crystals all over the tree branches. I find still cold, with a bright sun, to be kind of exhilarating, even if it is 30 below.
In contrast, the coldest I have ever been was in San Francisco, on a cold, overcast December, in the 30's, with a breeze. Even though I had on a down coat, the humidity just drove the cold into my bones.
Bumper to bumper all the way up and down Reserve Street.