Mars is not as cold as you seem to think. From Wikipedia: Differing in situ values have been reported for the average temperature on Mars,[20] with a common

Mars is not as cold as you seem to think. From Wikipedia: Differing in situ values have been reported for the average temperature on Mars,[20] with a common value being −55 °C (218 K; −67 °F).[21] Surface temperatures may reach a high of about 20 °C (293 K; 68 °F) at noon, at the equator, and a low of about −153 °C (120 K; −243 °F) at the poles.[22] Actual temperature measurements at the Viking landers' site range from −17.2 °C (256.0 K; 1.0 °F) to −107 °C (166 K; −161 °F). The warmest soil temperature estimated by the Viking Orbiter was 27 °C (300 K; 81 °F).[23] The Spirit rover recorded a maximum daytime air temperature in the shade of 35 °C (308 K; 95 °F), and regularly recorded temperatures well above 0 °C (273 K; 32 °F), except in winter.[24] Your biggest problem with opening the window is not the cold, it's the fact that all of your oxygen is going to be going away, along with some depressurisation issues (although these aren't as bad as full space - Mars' thin atmosphere is sufficiently thick that something as simple as a wetsuit would be enough to avoid most of the nasty effects on the human body).