Canister stoves often have a blend including n-Butane in them. This vaporizes at 31 degrees F, meaning condensation may help it freeze at temperatures below freezing.
Isobutane is also a common fuel type for canister stoves. It vaporizes at 11 degrees F, so look for a blend with a higher level of isobutane than n-Butane in it if you are using a canister stove for winter camping.
Propane should be the highest percentage of fuel in your blend for winter camping with a canister stove. It vaporizes at -43 degrees F. It will be the first thing to be used in single digit temperatures, so you'll want as much of it as you can find in a blend.
You can sleep with your fuel canister in your sleeping bag, or hold it close to your body under your jacket to keep it warm. You can also dip it in warm water.
You should not use a windscreen with a canister stove. If it is not properly ventilated, your stove may explode. Also, if cooking on the snow, the heat from your stove may melt the snow, creating an uneven cook surface.