Is it unadvisable to go out into below freezing weather if you have copd?

Yes. Even if completely healthy, proper precautions are advisable in extreme weather.
Depends... If you notice bronchospasm brought on by cold weather, then it should be avoided. So, if you notice you become more short of breath or if you cough/wheeze when exposed to cold air, then you should avoid exposure to cold air as much as possible (or use a bronchodilator inhaler if your doctor prescribes one!).
Usually. Temperature changes are generally bad for anyone with lung disease and can precipitate both asthma and COPD exacerbations. That being said, if you wear a mask and make sure you transition to the temperature change slowly, you may still be able to do what you want or need.