Need a bit more information, location, number of birds, coop size, what is cold (to me -20 is cold).
But generally if the only ventilation is the windows, you will need to keep at least one open. Generally it is best to not have the wind blowing directly into the window and onto your birds (when they are roosting), but if you have no choice, wind into a window is going to be better than no ventilation at all. If the wind MUST blow into a window, drape a towel or blanket over it to create a baffle, but not a seal. Place the baffle over 3/4 of the window so that the wind blows above, below or above and below the roosting birds (baffle bottom, top or middle). You could use plastic, but may catch and create a maintenance issue, a towel or blanket is sturdier and will 'flap' much better. If there is no wind, tie it back to get maximum ventilation.
If one window in on the windward side, open the other two. If it is very windy, lightly baffle those as well.
Damp air is what you do not want. Or better said, air at a higher humidity level that that which is outside.