How do you replace an exterior door with sidelights in the middle of and artic freeze?!...Can't wait till Spring!
First, why can't it wait until spring? It's been this long :)
If you have the door and sidelights (assume one unit) ready to slide into place with your buddies, I think the time in which one unit is removed and the other is in place is fairly short. You could try to create a plastic room, more or less, around the door, but not sure I would bother doing that. I think if you have your sawzall ready, remove the inside trim, the outside trim, and then cut the nails (close to studs), remove the unit, and place in the new unit, shim, nail, open some beers, or have the wife open them for you :), and celebrate.
Again, no expert, but if you have a good plan, the time when your house is open to the weather shouldn't be too long.
If you're changing out same for same, then it shouldn't take more than a couple hours, about only half of that time will have the opening exposed to the outdoors. If you're enlarging the opening for the sidelights, then I'd recommend waiting for warmer temperatures because you never know what you're going to uncover when you open up a wall. If you absolutely must do this before warmer weather, then I'd suggest installing a temporary wall of plastic and/or blankets to minimize the amount of heat loss while the door is being changed out.