A cold call is calling a raise after there was a bet and one or more raises. A player cold calls when he calls more than one bet at once. A cold call occurs in Texas Hold'em when a player raises in a pre-flop round and another player calls it. There was just one raise, but the blinds also count as a bet.
Example:
Player A bets.
Player B raises
Player C calls, i.e. he calls cold