If the snow is too dry, it won't stick together. Squeeze the snow together to form a ball. If it falls apart, you may need to add moisture or wait for it to melt a little bit.
Make a snowball in your hands. Continue to add snow to it until it's too large to hold. Put the ball on the ground and roll it, gathering snow to make it large. Be sure to plan where the ball is rolled, so that the finished base ends up where you want the snowman to stand.
Using the same process, make a slightly smaller ball for the body, and an even smaller body for the head. Stack the body on the base, and the head on the body. Pack snow between the balls to stabilize them and prevent falling.
Traditional snowmen use charcoal for the eyes and mouth, a carrot for a nose and sticks for arms. You can also dress up the snowman with a hat, scarf, corncob pipe and anything else you choose.