#1 wear warm gloves - preferably with a waterproof layer, not the cloth
gloves as they will be soaked and cold within minutes.
#2 Building a snowman only works with reasonably wet snow (if you can
make a snowball by packing snow in your hands without having to squeeze
really hard, then it should be ok) - if the snow is cold and dry and
doesn't stick to itself very well then you're out of luck I'm afraid.
#3 Start with a large snowball, roll it along the ground and let it
pick up snow as it rolls, it's own weight will pack the snow into
itself and it will become larger as you roll it. Roll it as large as
you like for the bottom section. The middle section should be slightly
smaller (snow is heavy, so make sure you can lift it), The head should
be smaller still.
#4 as you stack the sections, you may need to pick up handfulls of snow
and pack them into the spaces between the larger body sections to
stabilize them
#5 apply hat, scarf, and carrot (no, not THERE! the NOSE!)
#6 take picture

Now, there are some substeps in there that are important if you're
doing this as a family. Frequent breaks need to be taken to throw
snowballs at each other. Some screeching and laughing is normal.
Enjoy.