Check your transmission fluid level, but I think your OK, As you stated it
was cold out. Maybe the trans fluid wasn't at temp, it may not have been
flowing through the tranny quick enough. Check again in the morning. If the
sound goes away after the engine is up to temp, then this should be the
problem. Mine makes various noises when shes first starting out in the cold
morning, plus she creaks alot more in the winter.

Searcher1

Not sure if this is the same thing, but during colder weather (usually about
15 deg. F. or lower) my '96 will often exhibit what I have been told is
"throttle body whistle" until the engine warms up.  When I first heard it
and tried to "diagnose" the conditions under which it would occur, I got the
impression it was a transmission problem because it seemed to be related to
the amount of power being applied to the drivetrain and/or vehicle speed.
In my case, the sound is apparently related to how much air is flowing
through the throttle body - there has to be just the right amount of air
flowing at just the right temperature and throttle plate angle for the sound
to occur.  For my vehicle this roughly corresponds to what I would consider
my normal highway driving speed, around 60 mph in top gear with no torque
converter lock-up (cold engine).  This would also seem to correspond to the
approximate throttle plate position where my Explorer spends most of its
time.  Backing off the throttle a little, or giving it a little more, causes
the noise to go away.  Same with ascending or descending hills.  After the
engine/tranny warms up enough to allow torque converter lock-up (and thus
engine RPM to drop) the noise stops as the lockup occurs (again, I was sure
it was a transmission problem).  The dealer diagnosed/verified it was
throttle body whistle, something I wasn't familiar with.  Prior to that I
had convinced myself I had some sort of transmission problem because it
seemed to be so tied in to engine/drivetrain loading and sounded like it
could be some sort of gear whine or hydraulic fluid whistle.

HTH,
Steve