Pulmonary pneumonia (pneumonia) is actually an infection of the lungs by fungal, bacterial, or viral pathogens leading to respiratory distress. It is not uncommon for an individual to develop pneumonia as a secondary infection following/concurrent-to an upper-respiratory illness. Those with COPD (chronic obstructive pulmonary disorder; emphysema) are generally more prone to lung infection, for instance, and pneumonia can often affect those recovering or suffering from a nasty bout of flu.
Contrary to popular misconception, cold weather does not give you cold/flu/pneumonia or an infection of any kind. While cold weather and exposure can weaken an individual and render them more easily prone to infection, it is in fact during warmer, more humid weather than respiratory diseases tend to be more likely and more highly-transmissible.
A good reason for this is that warm, damp conditions are more conducive to the survival and proliferation of bacterial or fungal pathogens. Drier conditions tend to mitigate the survival of pathogens in the environment, whereas colder weather may help preserve them in a less active state- some viruses may even be transmitted via bacterial vectors, meaning that their transmission is potentially more likely in conditions that favour bacterial survival (warm/damp).
So no, cold weather does not give you an infection, but being exposed to cold can weaken an individual and render them more prone to infection. For those already suffering from respiratory complications, almost any adverse weather conditions (cold or hot) can lead to a substantially increased likelihood of infection. The elderly and infirm are far more likely to succumb to illness in adverse weather conditions also, though pneumonia can affect anybody, regardless of age.