You should change it before and a week or two after storage.
You don't want dirty oil which is full of acids sitting all winter. The dirt in the oil will also solidify, settle and turn into sludge. It's imperative you change oil before storage.
During the winter, condensation builds up which is why you also want to change the oil again in the spring. I add fuel injection cleaner before the oil change (spring and fall) then drive the car for a week to get all the crud out of the combustion chamber and down into the oil. Then I change the oil.
Like everyone else said, don't start the car during the winter unless you plan on driving it for 30+ minutes at a time. If you do start it run the A/C too, which should be run every month or so to keep the compressor and seals lubricated.
Crank your air pressure, park on 2x12 planks or rubber mats, drop in some Sta-bil into the tank and use a good battery tender. (CTEK makes good tenders)
Straight lines are for fast cars...turns are for fast drivers
'04 M3 - track
'06 650i Cab - daily driver
'02 Highlander - kid hauler
'01 330Ci - sold
'88 325iC - sold