Ok, weird problem regarding Heater/temp/cold

[BluesClues]

Ok, my X does something that I think is weird..

Lately here in Steeler Country, I mean Pittsburgh, its been close to Zero degrees.

So I go out and start it to get the defroster going.. I then run back in side for my bowl of Oatmeal and I come back 15 minutes later.. When I get in the temperature needle is pegged to the red. If I get in and drive away the needle will not come down. It will not only stay in the red but the heater and defroster will not warm up.
Now if I get in my X and turn it off, then turn it back on, the temperature needle will go back to normal, about 1 click under the middle of the gauge. Now the heater will begin to spit our hot air and i begin to feel nice and warm..

Why is that? If I dont turn it off and on again, the air stays cold ???

Where can I even begin to look or check??