How can it be raining when it's minus 20 degrees outside?

For the scientifically inclined that know the answer to this, it must sound really freakin stupid. I just took a taxi home here in Pittsburgh, because the roads are complete ice and I have sled car from hell. Anyway, the taxi driver brought this up, and was just stymied. Going on about how it's some kind of phenomenon, and it shouldn't be happening. Peaked my curiosity, and I kinda want to know too.