What makes a compost pile heat up is all the activity of the microbial life inside the pile, such as fungus, bacteria, nematodes, protozoa and so on. They must be active and feeding on the carbon sources, in your case the leaves. First, they must be there. There probably weren't enough on the leaves themselves. When you first start a compost pile, you should add soil because all of these microbes come from the soil. Second the pile must be turned frequently so the microbes, like bacteria come in closer contact with the fresh organic matter.Lastly, since it is so cold it will just be a slow pile during the winter. As the temperature drops, the microbes either die or are so inactive that they don't work. If the pile does not stink, you might want to add some organic nitrogen. The microbes don't need a lot of it, but you want it to be spread throughout the pile. The urea might not be enough to be distributed through out the pile.