I get a terrible sinus headache every time my forehead is exposed to cold, winter air- what could this be?

Vasomotor. This could be vasomotor rhinitis which would cause the sinus tissue to become congested and then clog the sinuses. You could try some nasal steroid spray or atrovent nasal spray.
Allergies. You already mentioned sinus headaches and that's what it sounds like. Try taking a decongestant like pseudophedrine.