I would not worry about the cold weather until it is going to be real cold, like teens or 20 degrees out. Until them nothing to worry about.

I have the same concern. I'm getting windows installed in 2 weeks and I live in Zone 5. One thing I was told by the sales rep is there is a seal that needs to go around the windows, it sounds sort of like a rubber gasket, and that needs to be at 48 degrees or warmer when installed, however I was told they can be kept inside for a bit before the install to warm them and that should be fine. My other worry is that stucco needs to be used for patchwork on my house. Some stucco manufacturers state stucco needs to be at 40 or higher for 24 hours. I've called 4 contractors here who all said they apply an accelarant to stucco so it dries quicker and it only needs to be above 40 for 4-6 hours. Some companies tape up tarps and use space heaters, or you leave the windows open overnight to keep things warm that first night after the install. I also got their 2 year warrantee on the install in writing just in case the low temps are a problem. Of course the cracking will probably start after 2 years and one week....

I would imagine you don't want sudden temperature changes, so they should acclimatise. Otherwise I'm sure things will be fine.

Well, one window had to be reordered and here it is, 10 degrees outside and my contractor is coming back to install the last window today. What should I be worried about during the cold install? The window is inside at the moment. I figure I'd rather have it shrink when the exterior cools instead of expand when the interior warms.

I too am having windows installed within the next couple of weeks, and worry about cold weather installation. I asked the installer what type of caulk he'll use, but he was very dismissive. I'm concerned that the caulk might fail if applied in certain temperatures.