I'm from the area, and as far as the weather goes, it'll be a change for you, but it's absolutely not a major problem. Make sure to get a hat that covers your ears, and if you're from a warm climate, probably gloves too.
The U is an excellent university, and you'll be shocked at how urbane the cities are. Most people blame the cold - everybody's inside from November to April, so a lot of creative things get done. If you want to get a feel for the cities, head over to Dinkytown (the neighborhood w/ the nightlife I described), or Uptown (oddly enough, the area south of downtown. It's a bit of a ways away from campus, but it's probably the "hippest" neighborhood. The corner of Lake and Hennepin is the epicenter of Uptown). The Walker Art Museum is great if you like modern art. Although, I'm sure the U will play up the cities like crazy for you. Point is, if you're worried about not having anything to do on a Friday night, you shouldn't be.