To unlock this, you just need to reach the "Snow Theatre" stage as part of regular gameplay. You can't miss it.
This is after the large city area and a simple level called "Just Paint". It looks like a red curtain with two pillars in front of it. When you reach the level, there is a cut scene with the grandad talking to the child. Once this is finished, you get a taster of how to use snow, similar to the "thunder" introduction earlier in the game.