There are more than one solutions to this problem:
• Positioning. Make sure your CPAP machine does not have the back facing an open window.
• Position the Tubing. Placing the tubing under your bedding can help, as the heat from you body will aid in increasing the temperature of the air going through the tube.
• Don't sleep in a cold room. Heat your bedroom to a level that is warmer but is not uncomfortable.
• Add a means of heated humidification to your CPAP device.