This article from Toronto Master Gardeners discusses the benefits of cold frames.
GrowVeg has step by step instructions and videos on cold frames
Instructables has a variety of build-it-yourself options.
This article from the University of Missouri discusses hotbeds, a variant of cold frames, is a bit more complete.
Dalhousie University has a number of resources on greenhouses and high tunnels.
The Land Connection offers a season extension guide for farmers, with case studies.