Should or shouldn't I run when it is cold? Is it easy to pull a muscle?
You can certainly run when it's cold, but there are some things you should do to make sure you're comfortable and safe.
This guide on Cold Weather Safety recommends that you dress in layers. As you warm up, which you will, you can remove layers as needed. If you feel cold, you can add the layer back on.
Nylon or Goretex is recommended to reduce moisture and protect you from the wind, and a knit cap can keep 40% of your body heat from escaping through your head!
Gloves and a ski mask are also options if it gets cold enough.
You should also be careful of slips and falls if it is or has recently snowed or rained. Make sure you have decent shoes.
Also you are much warmer when you are running so when you stop if you are not wearing too much make sure you go somewhere warmer once you start to cool down.
Also be careful not to take too long breaks in between running if you are clothed lightly. Depending on how cold it is, your body will cool down rapidly if you stand there without moving. I've seen people jogging on the spot at traffic lights to keep their legs warm and the blood flowing.