That is just what I was going to say...having had to stand in my barn this week for my mare to be shod with winter shoes. It wasn't below zero, but we had enough wind coming through the door (since farrier won't bring his forge inside, nor would I let him anyway)...I think I might have frozen to death if we had a fan on as well!
I didn't realize that all farriers didn't bring a forge with them. There are times my farrier doesn't need one, but he always has it available. This week he specifically mentioned that it was just too darn cold to even think about hammering on cold metal.
If you have wind coming thru the door, just face the horse into the wind, and the smoke will blow towards back of horse.