This is the first time I've heard of a problem like yours, and generally speaking the climate automatic on X3s isn't a source of many problems.

When you park the vehicle on a very cold day, the interior of the vehicle cools down rapidly. As a result, when you return to the vehicle, windows tend to fog up as your body heat and the heater quickly increase the temperature inside, causing condensation on the inside glass surfaces (like what happens in your bathroom after a hot shower). If the outside temperature is extremely cold, the glass may be cold enough to briefly freeze the condensation. This has happened before to us in the backseat area, where isolation is not very good.

Solution:
When reentering the vehicle, turn on the electric rear defroster. If the front windows begin to fog up, turn on the front defroster button, which will blast heat at the windscreen and front window to quickly reduce the condensation and dry out the air. The defrost fan speed can be manually changed but for maximum effectiveness, I'd leave it at a high fan speed. The windows should slowly clear within a few minutes, at which point you can turn the defroster off.

Note that in cold temperatures, the engine can cool down quickly. As a result, it may take a while for the engine to have warmed up sufficiently to begin blowing heat into the cabin.