Setsu the Snow Woman

Out walking on a snowy road, a man finds a girl collapsed in the cold. He thinks she's a corpse at first — her skin is pale white and as cold as the weather — but she was breathing.

He takes her home and sets her up in front of the fireplace, and soon her vitality returns. She reveals that her name is Setsu, and that she is half youkai. The blood of a yuki-onna runs in her veins, making her prone to freezing.

And when she does freeze again, our hero sees little choice but to warm her up with his body...

(Source: DLsite)