With a decently thick stick, a bit of snow, and some sticks, you can easily make a simple stove. Roll the stick in snow until you have a decently, large clump. Put it upright and remove the stick so you have a verticle hole. Now, stick the stick through on one side so it connects to the main hole and pull it out.
To use it as a stove, just light some sticks on fire and drop them in the top hole. The side hole will allow for air to reach the flame and the snow will protect it from wind.