To unlock the "Winter Is Coming", you must complete the second act of Movie Mode.
You do not NEED the deleted scenes to get this far if you earn enough stars on prior levels in movie mode.
The achievement will pop as soon as you cross the finish line in the final scene.
Note - The achievement title is in reference to the House Stark motto from "A Song of Fire and Ice" novels, more commonly known as The Game of Thrones on TV.