Freezing water is destructive to a pond pump, so be sure to remove your pump from the pond before the first freeze. Clean the pump thoroughly and store it somewhere indoors for the winter. Most pumps are best kept submerged in a bucket of water so that the seals are kept wet and don't crack or get damaged. If you have a magnetic drive or asynchronous pump, however, they can be stored anywhere dry. When spring returns, your pump will be ready to install.
Don't worry if your're keeping cold-weather pond fish like koi through the winter. They'll do fine as the water naturally forms layers of varying temperatures and they'll generally keep to the warmest bottom layers. In fact, it's important to avoid using your pump in regions where the water falls below 50 degrees Farenheit, since a pump will disrupt those thermal layers and may cause stress to your fish.