In English, you would say “I am cold/hot” to describe your body temperature. In French, it is a little bit different. You would say “J’ai froid/chaud” which literally means “I have cold/hot.”
En hiver, j’ai froid – literally translates to: In the winter, I have cold.
Ouvre la fenêtre, j’ai chaud – literally translates to: Open the window, I have hot.