Increasing your heart rate could help you warm up! There are plenty of places to jog or walk (even in the winter!) in Milwaukee:
Milwaukee Walking Routes - The best walking routes in Milwaukee, Wisconsin
Are you from a city or country that normally doesn't get snow or ice? Get some inspiration from the Winter Olympics and try ice skating, skiing, or snowboarding. Your heart will thank you!
Slice of Ice in Red Arrow Park
Tyrol Basin Family Ski and Snowboard Area (a bit of a drive, but worth it! and inexpensive )