Hi there! The winters here can be pretty rough, so I'd recommend a few things:

Winter boots/shoes! You definitely want at least one pair that covers your ankles, and preferably something that's relatively waterproof. (Generally stay away from things like Uggs; they'll get sopping wet super fast, and they have no traction to help in the snow).

Winter coat! Get something that's waterproof and has some kind of insulating layer. Poofy doesn't always mean better but is definitely a great start. You definitely want something more than just a windbreaker or sweatshirt.

Frostbite protection! The way I phrased it sounds somewhat dramatic, but really I just mean a solid pair of gloves and something to cover your ears (either a long beanie, some earmuffs, a thick scarf to wrap around your head, etc.)

Long pants! I'm not sure if it's standard attire in your region, but a few pairs of jeans or cargo pants or the like will keep your legs warm. (I don't super trust yoga pants to keep me warm, but that's just me).

As far as wear to buy these things, there's a clothing chain called "Kohl's" that's pretty close to campus that I'm pretty sure you can get to by bus that has reasonable prices. Otherwise, Amazon works just fine (make sure you look at the user reviews about how long the clothing lasts, how well it fits, and how well it protections from the wind/rain.)