Chevrolet 2006 Cobalt Owner's Manual page 223

CAUTION:
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Snow can trap exhaust gases under your
vehicle. This can cause deadly CO (carbon
monoxide) gas to get inside. CO could
overcome you and kill you. You cannot see it
or smell it, so you might not know it is in your
vehicle. Clear away snow from around the
base of your vehicle, especially any that is
blocking your exhaust pipe. And check around
again from time to time to be sure snow does
not collect there.
Open a window just a little on the side of the
vehicle that is away from the wind. This will
help keep CO out.
You can run the engine to keep warm, but be careful.
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