You'll want to drain all the water from your fountain and store the pump in water somewhere that it won't freeze. Storing the pump in water prevents the rubber seals from drying or cracking, rendering the pump unusable. It's not reccomended to leave your pond pump out during the winter unless you experience mild winters or your pump is located deep under water. Most pumps will have a minimum operating temperature that you can compare against your climate to see when the best time to move it inside would be.
It's important to keep your pond pump away from freezing temperatures due to the damage that ice can do. Think of when the pipes in your house freeze. They can be severely damaged or even ruined as the water expands. This is the same concept with fountain pumps.
